Cessna Citation Sovereign Captain on final approach reported a descent below the glidepath that resulted in a Low Altitude Alert from ATC.

Narrative

We picked up the plane from ZZZ1. I was the pilot flying and my co pilot was pilot monitoring. This was a ferry/training flight as the copilot has few hours in type and was recently hired.We requested the RNAV XX into ZZZ even though it was VMC. We were cleared direct to ZZZZZ and to cross ZZZZZ at 3600 or above. The copilot selected 3600 in the altitude selector; and I said leave at 4000 he already selected 3600 and began to change back to 4000 which deselected the VS mode. I said put 3600 in and we began our descent. The copilot had not completed the approach check list and I said let's get that done as we were a little behind.I was watching him run the check list and made sure the FMS was programmed and selected the approach mins and tried arming the approach. The approach would not arm and continued visually. We were VMC and had the airport in sight outside the IAF so we continued. I realized the auto pilot did not capture the 3600 feet just as ATC issued a low altitude alert. We advised ATC we had the airport and were cleared for the visual approach. We were at 2600 feet and had the airport insight about 6 miles ahead. I disconnected the auto pilot; and hand flew a visual approach and landed. Contributing factors to the event were the PIC not seeing the VS mode deselected; the copilot being new to the plane and me trying watch and explain procedures while flying.