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To answer your original question - registering a domain is putting your "private" information out there for anyone that wants it - by law it is required in the US to be available for every domain registered. If you use a privacy service offered bythe domain registrar it will be hidden from the people doing whois searches (which is how Alexa gets the information) however that information can still be retrieved by any agency that requests it.
More importantly - so little people use Alexa as a search engine its not like the information is going to show up very many places.
As was previously posted however, it can certainly affect your business if you own an adult site, as most traffic sources will not link to people that hide their information anymore. Also, there is a trend (my personal feeling is that it has already been implemented) at Google to dampen ranking based on hiding information from their whois part of the search algorithm. Just so that there is no misunderstanding, Google recently became a qualified registrar specifically for this purpose.
Last - I dont know who has been giving you information on corporations, but as pointed out it is entirely false. I dont have a clue where you live as I havent looked up any of your info, but claiming franchise tax as a big deal is ridiculous - in my state its $25, in Delaware where one of my corps is registered its $200 including the registered agents' fee. I also have my own financial adviser and accountants and they would shoot me if I ever tried to get rid of the corps - with the expenses that wouldnt be able to be claimed as biz expenses I would be taxed so heavily, I would owe the IRS tens of thousands of extra dollars every year.
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