Two Calendar alerts not working since iOS 9 update

I was able to duplicate this issue on iOS 9.0.2, and these steps worked for me:

  1. Tap "Second Alert"
  2. Set it to "None" (at the top)
  3. Tap "Second Alert" again
  4. Set it to the desired time.

This appears to be fixed on iOS 9.1 for me. Do a backup just in case your upgrade goes south, but my upgrades were all 15 minutes of waiting during reboots once the download was done.