If you are a criminal in the wild west, you will not be contacted with a warrant. Wanted Dead or Alive is the Red Dead Redemption 2 version of saying "you are the criminal and everyone is looking for you".
Therefore, basically, what this red alert means is you got to get out of the area right now. You might encounter this during the second mission of Javier Escuella. While the game itself does not let the player know about the alert, it is most likely clear.
If you are presented with this alert, it means that the NPCs in the specified area will be hostile. They will be actively looking for you to get themselves a reward out of you or your body. Lawmen present in the area will immediately shoot you, so keep your eyes open.
By now, you might have noticed that this happens at the beginning of the game. Because your robbery goes wrong, all the police start actively looking for you. Besides, you can also get this warning by committing crimes consistently and consequently. If you break enough laws, you will get the warning.
If you want to learn more about Red Dead Redemption 2, do not forget to check our full guide!