It should do this automatically, and I don't think you can turn it off.
You may need to change the vibration strength though, if you are missing it. This is in the settings "app" on the device, aptly named "Vibrations." You can only choose between strong, and normal.
I wonder, if you have Do Not Disturb enabled, if it silences this? This has a separate setting that automatically enables it when using the exercise app - if you always reach your goal while using that, this could explain why you are not shown the notification. Confirm that this is disabled? On the device, go to settings and then Do Not Disturb. Confirm both settings under this screen are off?
