I don't believe that we have any records of that.

Alphabets were known in China by at least the 4th century CE. Our earliest examples of the Sogdian alphabet, for example, are from China, although that is considered more of a Central Asian script. There are also examples of the Indian Brahmi alphabet in China dating from the 5th and 6th centuries. But Brahmi goes back a thousand years before that, and may well have been seen in China long before our earliest surviving examples. Likewise older west Asian alphabets may well have entered China long before the development of Sogdian that we just don't have surviving records of.

We simply don't know which was the first alphabet to enter China. We don't know when it got there. So we don't have reactions to them. By the time Europeans got to China alphabets were old hat. Neighboring peoples like the Tibetans, Uigers, Turks, Mongols, Manchus and more had been using them for centuries.