Sentry currently has two types of integrations: Global and Legacy. The difference is important when choosing an action for a new Alert Rule.
The option "Send a notification (for all legacy integrations)" will send an alert to legacy integrations and explicitly NOT to the new Global Integrations.
What's the difference between Global and Legacy integrations?
Legacy Integrations are configured per-project and offer little customization. Legacy notification integrations (HipChat, PagerDuty, VictorOps, etc).
Global Integrations are still configured within Project Settings but are global across your Sentry organization. They offer more granular control (the Slack integration allows you to choose specific channels per-alert rule, whereas legacy integrations can only alert the same channel).
Over time, Legacy integrations will be migrated to Global integrations. When that happens, you'll need to disable the old integration and configure the new integration.