Using LastPass doesn't prevent the sites you use to leak your data. Data breaches are very common nowadays.
LastPass flags "compromised passwords" based on the site URL only, it doesn't check whether your username/email or password are actually in the breach.
LastPass Sentry alerts you of an exposure based on your email only.
Because some leaked data dumps contain email+password pairs only, and have no info on the source website, you may receive an exposure alert without seeing any site in your vault flagged as "compromised".
LastPass doesn't check if your actual passwords are in any breaches/dumps, because the service LastPass uses to check for exposures doesn't provide a secure interface/API to check passwords.
To provide more concrete information, LastPass has to implement a secure way to check whether our actual passwords are in a breach or data dump.
One such service (and probably the only one) is "Pwned Passwords" from "Have I Been Pwned" (HIBP):https://haveibeenpwned.com/Passwords
You can join other users to request LastPass to integrate HIBP here:viewtopic.php?f=7&t=321495
Please also open a support ticket to voice your request:https://lastpass.com/supportticket.php
It's important to open a support ticket, because the forum is basically abandoned by LastPass.
You can read some more details (my posts) here:viewtopic.php?f=7&t=321495&start=40#p1076505viewtopic.php?f=7&t=321495&start=50#p1076845