Transformer Oil vs Winding Temperature

It certainly is the other way round.

By the way there is no rule of thumb, you have to evaluate the max allowable temperature rise by using formulas, insulation class is the primary consideration.

Definitely the other way round, otherwise the setting negates the essence of protection.

What's the use of an alarm if it is higher than the allowable temperature of the device you intend to protect?

Also, the oil temperature close to the transformer windings will take the transformer temperature readily, if your alarm sensor is close to the external walls, it will never reach this temperature.

So your alarm needs to be lower than the allowable coils temperature, the transformer manufacturer should give you this setpoint.