I had the same problem with Troy. Man-killing Achilles, even when airbrushed to suit Brad Pitt's image and sensibilities, is not someone I want to spend much time with.
The 20th century's experience of war and empire has revolutionized our taste in heroes. We no longer favour aggressors like Alexander. We identify instead with the resistance. We want to see Russell Crowe take on the Roman Empire or Viggo Mortensen fight his way to a crown that is justly his.
Being asked to cheer for Alexander is a bit like being asked to cheer for Mordor.