You shouldn't need to leave it in gear if parking on a slope, the handbrake should be fine assuming the brakes are working correctly. In this case I'm afraid they're probably not.
What usually happens is that the brakes are binding which creates excess heat which causes them to expand, when the handbrake is applied it works, but as the brakes cool down they contract and the disc slips from the pads, and off rolls the car. Seen it a few times I'm afraid
Have the brakes been serviced recently (pads/discs changed)? This is usually when it happens.
Sorry you're not having much luck, it's probably no consolation but this isn't an Alfa "thing" it's common to all makes.
Hmmm, not the advise given in the highway code or the Police Drivers handbook, or most user manuals.
Brakes do expand during use, therefore giving a false reading when pulling the handle up, and cooling will then reduce the grip.
There is also the issue of component failure, cables snap, pads fail, linings drop out.
Personally I would not risk my car by parking entirely using the handbrake as a support mechanism. I always put the car in gear according to the road I am on, and always will.
Only last year the step-daughter's KA snapped a handbrake cable in the early hours, it rolled from the parked position, across a junction and nestled itself nicely in the neighbours wall. She now parks in gear.
Maybe this comes from years and years of driving Saabs, they generally lock in reverse so it became a habit. It is also much kinder on the starting mechanism, including clutch, to start the car with the clutch pedal in. Just my thoughts.