I've just noticed this today, and maybe it's only a short-term thing. Then again, maybe not.
Theory #1: Alexa for some reason is not performing redirects, but not to worry, as this soon shall pass.
Theory #2: Alexa will never again perform redirects, as it has decided they are a bad idea.
My money's on #1, but this just goes to show you that using an Alexa redirect is indeed risky. If you were to build a redirect into your blog's "Home" link, a user wanting to check out your front page would instead be shown this:
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