It's supposed to be for extremely serious situations only. If the bombs are going to start falling in five minutes, millions of lives could depend on everybody getting the word as soon as possible. An unskippable alert pushed out to every cellphone in the country is the best way in the modern age to ensure that happens.
As long as its use is restricted to only that kind of sky-is-falling situation, I don't have a problem with being unable to opt out. If Trump starts using it to advertise his latest rally, that would be an abuse of the system and pressure to let people opt out would start piling up rapidly.