That looks like a switch which is closed when magnet is applied and open when magnet is removed. Although I can't be sure from the link you sent.
Are you using the satandard alarm rules options in the config or have you defined rules?
If you are using rules then it should read "if sensor open then alarm".
Make sure you constructed your pull up resistor wiring correctly.
You can use the reverse polarity option on the "location" to switch the polarity of the device.