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.
The expectation from Real Madrid, in any given season, is to win UCL, win La Liga, and with the cup. That's it, there is no other alternative that could be accepted as great, if you win just one of them then it's decent but not a big deal, you have to have treble, to make it great.
I understand it may not be possible to do that every season, of course you will end up with bad results eventually, but at the same time you have to realize this is what fans wants, and anything less is not acceptable.
This is the way we can improve and for that reason we are going to end up with better results for them this season because they already used their chance of not winning last year. Xabi has to win, that's why he was brought, to win.