Have you tried to click on the button? Mine appears to be greyed-out whether there is a warning or not but, it is still active. If there is no warning, a box will open stating "No warnings".
Also, to test this, enter a ZIPcode that you know has a weather warning and the click on the button. I did it with ZIPcode 88435 which currently does have a warning and it worked fine for me.
Just thought of something - you are referring to the "Wunderground | Weather Warnings" section of VWS, correct?