These are government-issued safety messages that include AMBER Alerts, emergency alerts – such as man-made or natural disasters, and Presidential alerts.
Wireless Emergency Alerts are part of the FCC’s CMAS program and are mandated by law. You may turn off alerts (except for Presidential alerts) if you choose. Go to Settings >Notifications>Turn On/Off.
You can always disable the notifications if you’d like (except for presidential alerts), but AT&T notes users are “not charged for the data to deliver it and Wireless Emergency Alerts will never count against your messaging plan.”