What I even suspect is that there is too much expectations from him which is the biggest challenge he will face as Real Madrid coach. A lot of people are expecting him to do the same magic he did at Bayern Leverkusen, forgetting that those are different leagues with different style of football.
There is no such thing as "too much expectation" in Madrid. He knew what he was getting into before he signed. he signed for Madrid, a team where you can win 15 straight games and get criticised for losing the 16th game. He knew this before signing. Ancelotti got fired for having a bad season after winning the Champions League and La Liga. If Alonso doesn't win a trophy this season, he will be sacked, so he's under a lot of pressure.
Madrid does not really pay attention to how you play as long as you win, but that doesn't mean they have the luxury of playing badly even if they win. They have to play relatively well, even though it's not entertaining.
It is expected of Alonsoto to do better than he did at Bayer Leverkusen. He doesn't need to win the league without losing a game, but he needs to win the league and also win the Champions League. The expectations of Leverkusen and Madrid are not the same, Madrid's is way higher and he understood this before signing.