I think Alfie is used to having a lot of control in his life, and he doesn't have that control here. It's frustrating and frightening for him, even if he wouldn't admit to it. There are only a few people he really cares a lot about, and if you've become one of them, then yeah, he's going to want to have control to the extent that he thinks he can protect you from danger and yourself. He knows full well he's not your boss, though, so he winds up snapping.

I don't think he's used to not having a solution to something like this. If he were back home, he could order a few of his men to go with you for protection. Now he's having to do the calculus on whether to abandon you or abandon three people he cares about. That's not an enjoyable math problem, and I reckon he doesn't have a concrete solution other than 'don't go if Stein is with him,' which he knows you might ignore anyway.

Stein's hurt Fiona, Beckett, and Rhys before. Alfie saw some of the aftermath of that. Stein's hurt me, as well, and now Kid. I really... I didn't think he'd ever hurt Kid. But he's proved himself a danger again. He's manic and out of control.

The good news is that if Kid's asked you not to go anywhere else for support, it's very unlikely that Stein's with him.