Alarm spell is ineffective against a Night Hag staying in the Ethereal Plane.
The Alarm spell affects the area in the Material plane, where your group is. It activates
whenever a Tiny or larger creature touches or enters the warded area.
The hag is not entering the warded area, as she's in the Ethereal plane per the quoted Q&A, and she's not touching the area, she's magically touching a creature by staying in the Ethereal plane: this contact is made by magical means and nowhere it is said that the hag enters the Prime Material.
To nitpick, the hag is not simply touching the sleeping target, she's straddling them, per the description:
While a humanoid sleeps, a night hag can straddle the person ethereally and intrude upon its dreams.
If a monster ability allows them to shift to the Ethereal Plane and there are some particular interactions with creatures, objects and the environment on the Material Plane, the description would say so. For example, the Ghost's Etherealness provides specific rules: when the Ghost is on the Ethereal Plane it can be seen by creatures on the Material plane, and vice versa.
Etherealness. The ghost enters the Ethereal Plane from the Material Plane, or vice versa. It is visible on the Material Plane while it is in the Border Ethereal, and vice versa, yet it can't affect or be affected by anything on the other plane.
