The question was "what nationality was Alexander" so the answer of Makedonian was entirely correct, there was no state called "Greece" back then but there was one called Makedonia, and he was from it. This has no relation to any modern day nation, the whole argument over who "owns" the name is a bit silly IMO, the only difference between people in the FYROM and Greek Makedonia is that they speak different languages, both are equally descended from the Makedones (and other peoples that carry less fame).

The only mistake they made was putting up the modern FYROM flag to represent Makedon, which is almost undoubtedly an simple mistake and not a claim that the FYROM is a continuation of Makedon.