Hello @Gingguar, welcome to the Sonos Community!
I am sorry to hear you are having trouble setting a Sonos alarm with a Spotify playlist to start shuffled.
I tried just now on my android smartphone and was unable to reproduce this issue. I created two different alarms with two different Spotify Playlists and set them to start shuffled and it worked as expected both times.
What happens if you add a different playlist on that new alarm to start shuffled? Have you tried re-creating the playlist and see if it happens again?
What make and model device are you using for the Sonos App and have you tried it with a different one if available (smartphone/tablet)?
If you are still unable to start a new alarm with a shuffled Spotify playlist, I would suggest you contact our Support Team for live troubleshooting.
They have tools at their disposal to provide you with information and advice specific to your Sonos system and what it reports.
I hope this helps.