There aren't too many records from the Parthians or Sassanids but Eskandar is a common name, named after Alexander. He's just another historical figure to Iranians, not significantly different from all the other adventurer/conquerers that have come and gone, mostly adopting Persian ways with them. Tamerlame etc.

The Greeks adopted him and promoted him as well as the Persian Wars into a national hero, but in fact there was no "Greece" back then, the war with the Greeks was a distant border skirmish in a large empire

Alexander was not even Greek, he was Macedonian, and the Persians had even assisted the Greeks to resist Macedonian invasion.