IMHO inability to move alx.exe does not mean it is impossible to use EB with Steam. You just need to install EB (or copy) into Steam RTW folder and update shortcut to include -mod:eb.
Of course, you may well be right. However, the Steam install is different that the install from a CD with RTW and Alexander in two seperate sub-directories under a Steam directory. Additionally, by running Steam, you grant them rights regarding your computer that I feel uncomfortable about. Long term, I'm thinking it is a better idea to just buy the Alexander CD and wait until it shows up in the mail.

Thanks for the suggestion.