Does Rome count? Because Rome sort had a thing about Alexander (and Sparta for that matter).

For the time period itself, there seems to be a few things. I can give one source here (mind, I'm not terribly certain on the veracity of the source, but it seems well written if a touch casual): http://www.allempires.com/article/index.php?q=rome_opinion_wars_alexander

If we talk some centuries after Alexander's conquests, I can go in more detail. For example, it is known that some people fancied Pompey looked something like Alexander, and he fancied that idea himself for a long while (he even supposedly wears a cloak of his turning his Triumph when he returned from the wars in the East: http://penelope.uchicago.edu/~grout/encyclopaedia_romana/miscellanea/cleopatra/pompey.html).

And here's Plutarch on others' perception of him as Alexander: http://penelope.uchicago.edu/Thayer/E/Roman/Texts/Plutarch/Lives/Pompey*.html

Also, as a young man, Caesar supposedly laments the fact that, despite his self avowed abilities, he hasn't done anything like Alexander (https://kevinhoda.com/julius-caesars-encounter-with-alexander-the-great-how-would-the-future-be-if-you-just-gave-up-now/ - the article itself is useless, but the quote in it is from Suetonius).

My figuring is, the Romans obviously knew of Alexander's conquests as he did them, and either wondered at them or regarded them highly enough that Pompey much later wants to paint himself in that light, or Caesar lament his lack of achievement compared to him. I conjecture that indirectly, Alexander's conquests had to have been admired.

Follow up: would Alexander have been called 'The Great' during his lifetime, or was that a title given to him later on?