I realise this is a very old thread, however I've just come up against the same issue.
I'm running mirrored databases on a 11.0.2100 build. There are Alerts set for various mirroring state changes. The alerts fire successfully. I can get out certain data in the response job such as ESCAPE_SQUOTE(WMI(DatabaseName)), however the ESCAPE_SQUOTE(A-MSG) returns the actual WMI query text in the alert instead of the actual message set in the "Additional notification message to send" box. E.g for ESCAPE_SQUOTE(A-MSG) it returns SELECT * from DATABASE_MIRRORING_STATE_CHANGE WHERE State = 9 AND DatabaseName = 'SalesDB'
Which appears to be wrong. Help!
-Dean.