I believe providers use something called the STK - SIM Application Toolkit (http://en.wikipedia.org/wiki/SIM_Application_Toolkit
) to add these numbers on to the phone.
I don't think the numbers are stored in the phone book, but phones will look for the STK when they load the sim card details.
Have you tried testing the alarm just adding your numbers into the phone book?
What phone are you looking at the sim card with? It might be worth looking at it with another phone, to see if the numbers appear in the phonebook there.
If I put my sim card into a nokia, I see extra O2 menus.. however, putting them into my blackberry, the phonebook is empty..