It's been a long while, but my memory tells me they were less freaked out by the crossdressing and more by the fact that Alfred is completely insane. Not just normal Umbrella let's-torture-people-for-testing insane, full on cuckoo for Cocoa Puffs.Pretty much, they had seen evidence that Alexia existed so they where sure there was two of them then it turns out it was all Alfred. That's what they reacted to.