Hi Luis
I am not sure if your questions has been answered by IBM Support. However, it seems your problem is not so much about authorization, as it is about the right specification of the alert options in SE.A.A. When you specify a new custom alert, you have to enable Action command from the allowable destination types. Next, when you select the alert in a set, you must type a slash or an S in front of Specify action command. In the next panel, put a / or S in front of TSO-RACF command as shown here. Then enter a combination of literals and fields to build your command.
When you fully configured your alert(s), use the V line command to verify the alert set. Now check the CARLa member generated by verify in C2PCUST, the member name would be setnameV (alert set name followed by a V). Find the NEWLIST command for the alert. There must be a CMD parameter in the NEWLIST command, to reflect the Action command that you configured. If there is no NEWLIST with the CMD option, you must try again to specify the alert in SE.A.A. Read here about the CMD option.
Commands do not show up as WTOs by themselves. For testing purposes, I would select BOTH the WTO as well as the Action command destinations. That way you can see when the alert conditions matched an SMF record.