It's never been easier to build a PC than it is today. There are plenty of sites devoted to laying out all the parts in like $50 price/performance increments while components are more plentiful than ever and occupy a much wider range of ticks.
But, I don't care to build a PC either personally because even though it's easy and all there can still be unforeseen problems and if you try and build something small, sleek and quiet (or cool running) then many of the builder advantages you might have start to diminish slightly while the effort ratchets up. To that end, something like the alpha makes sense just for being a sleek form factor alone.
The compromise though? get a pre-built PC that you'll be able to throw a new GPU and CPU in 2 years from now and call it a day.
Edit: for curiosities sake I quickly priced on newegg what an equivalent PC would cost to DIY to the $999 alienware X51(not the Alpha you linked) and came out to $821 without a case or power supply, so I dunno, the price comparison really might not be that far off.