I have to say it's a real disappointment that this basic feature that you'd expect satnavs to have isn't included. That's always the risk when going for a factory fitted nav you're at the mercy of their brand software but this is a glaring omission compared to industry standards (TomTom, Garmin).
There are some apps if you search "speed camera alert" in the app or play store but mixed reviews and eat your phone battery, not to mention that you look like a right mug paying for 750-1700 for nav in your brand new car and having to deploy your phone to avoid the highway paparazzi.