Hi,
Just wanted to know if you've resolved the alarm issue as I too have exactly the same problem on a '97 GS300 Sport Mk1. I too am flumexed as to the location of the alarm. Like you everything works apart from the siren, the lights flash, doors lock and I asume the immobiliser works. Someone told me that some systems can have the siren switched on/off but like you I can't find the alarm to see if there's such a switch.
Hope you've found a solution and that you can share it with me.
Here's hoping
GS Sport.