Alexander's constant campaigning did indeed mean that he wasn't able to spend as much time ruling his domain as a less conquest oriented monarch might. But just how the conquered peoples felt about their new position is hard to gauge. In one sense it is reasonable to say that Alexander's new subjects would have been aware that they were under the rule of a new government as Alexander appointed many new Greek and Macedonian officials to rule in his new provinces. The most famous example would be Egypt where Cleomenes, a man from the local Greek colony of Naucratis, was appointed as the region's chief financial officer. He would go on to become the most powerful man in Egypt until Alexander's death, presiding over an extortionate and abusive regime. Macedonians such as Stasanor, Tlepolemus, Sibytius, Peithon, and Philip were all appointed to rule in the various provinces of the Far East. We don't know much of the regimes of these men although many lasted quite a long time after Alexander's death.

But would having a new Greek or Macedonian governor make that much of a difference to the conquered peoples? Taxes and tribute were still imposed, often at the same rate the Persians had set. The Persian administrative structure was kept in place, with the regional boundaries being organized in much the same way. Also Alexander did not appoint only Greek and Macedonian officials. In Egypt, a native named Doloaspis received administrative control of the country while Cleomenes was supposed to only act as a tax collector (a limitation he clearly ignored). Queen Ada continued to rule in Cardia, the Persian Phrataphernes was kept on in Parthia (and would stay there until 321). Other Persians like Mazaeus (who was given the governorship of Babylon but had two Macedonians acting as his general and tax man), Mithrenes (former Sardis governor sent to rule Armenia), and Abulites (ruling Susiana but again with Macedonians as his officials) all administered a great deal of territory for Alexander. In India, things can't have been very different at all. Much of Alexander's Indian empire was ruled by the local kings Taxiles and Porus as vassal states. Seeing as Macedonian rule east of the Indus had almost completely broken down by 315 one wonders what really changed administratively.

Of course simply looking at the appointments Alexander made doesn't give us a complete idea of how his new subjects felt about whether they were truly part of a new Macedonian empire. Now it's entirely possible that people didn't think Alexander was coming back as he continued ever further into the east. On his return journey numerous governors were replaced for alleged mismanagement, suggesting that Alexander's officials were carving out their own fiefdoms before the man was dead. Some of this can be attributed to Alexander's ever increasing paranoia but there is some evidence that such acts of abuse were going on. Harpalus, a friend of the king's, eventually replaced Mazaeus in Babylon and went about debauching himself on the assumption that Alexander would never come back. He was forced to flee, taking a large quantity of embezzled funds with him, in 324.

In terms of what we can learn from all this it seems fair to say that while the conquered peoples probably had some idea that they were living under a new Greco-Macedoinan power structure, it's hard to be sure whether or not there was truly a sense of being part of a unified empire under Alexander. Whatever belief there was in such an entity certainly crumbled very soon after his death, as the empire gave way to the successor kingdoms.

I hope this rambling answer has been somewhat informative. All the information I've referenced comes from Arrian's Anabasis.