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Went back through some old threads and one in the same.
They didn't visit my large site rather a smaller one. Also this particular sub-folder (NOT sub-domain) has its own htaccess, without a robots.txt. This sub-folder has listing with many pages, inlcuding all the DMOZ mirrors. It still doesn't explain Alexa's avoiding robots.txt. Or even identifying themselves.
My previous mention of the the co-loction is the backbone provider. United something another.
In any event, I've readded Alexa to my deny's until they resume use of a UA and reading and honoring robots.txt.