Did they really didn't know how to show them? Look at this byzantine manuscript: https://upload.wikimedia.org/wikipedia/commons/0/0e/Byzantine_Greek_Alexander_Manuscript_Cataphract_%28cropped%29.JPG
Clearly this is not how we imagine Alexander the Great right now.
I asked this question about the Crusder's Bible depicting the Old Testament in medieval garb and got this excellent answer from u/wagrid
the preview answer is that it's done to connect the past with the present.
