It's not just about the experience of a particular tournament, but also about the level of the opponents, as well as the form in which the team is. The Champions League will certainly be the most difficult test for the team and for Alonso, because one season can be completed on luck and courage, and you can earn recognition if the team can repeat the success again. And if we are talking about success, then the Bayer could not achieve it in the EL final, and Atalanta is not the strongest team, in the Champions League the opponents will be much more difficult.
What happened in the Europa League final this season is proof that mentality is quite important, a landslide victory is not a matter of luck but rather a feat of worthiness.
In terms of quality, Atalanta is not better than Leverkusen, but Atalanta's team mentality is much stronger than Leverkusen, which has just built its team, especially since Xabi Alonso is also a coach who is still quite young and less experienced.
In the Europa League and Champions League I think the atmosphere is the same, this is a big European competition which of course will be very fierce. The difference is that in the CL the best European teams are there which makes of course the competition will be much fiercer.