I was sorry to see the Alpha Vampire get killed in this episode, mainly because he seemed to go out with a whimper rather than a bang. I kept waiting for him to attack Sam or at least show his fangs, but he just tamely stood there waiting to be shot. I had once thought he was a rather impressive monster, at least in his first couple appearances, but he seemed very weak in this one.
Remember the spooky vision Dean received from the Alpha Vamp after he was turned, with the little girl twins and their teacups of blood? Very sinister and atmospheric. And then when the Campbells had the Alpha Vamp chained up in a cage and were trying to torture him for information on Purgatory? I think you got the sense that they had a very dangerous tiger by the tail, and were out of their league. As he told Sam and Dean, "When your kind first huddled around the fire, I was the thing in the dark. Now you think you can hurt me?" In this episode the answer was, sure we can, no problem!
I think another reason that the death of the Alpha Vamp was pretty much a damp squib for me is that there was no connection made to anything in the Winchesters' history. For example, the fact that Dean was once one of his "children" was never mentioned, or that Dean killed Eve, the Alpha Vamp's "mother", or that last time they saw him they told him they were looking forward to coming back to kill him. It was the end of a scary monster, but there was nothing personal about it. Nothing made it seem like a big deal, in spite of the special effects.
In the beginning when we saw the Colt being used, for example when Dean shot Azazel, or when he tried to kill Lucifer with it, there was a deep resonance and meaning in those moments that tied back to the very beginning of the show; its use was something that changed everything for Dean and Sam. Now it is just another renewable magical tool in the MOL's kit, and I feel as if the specialness of it is gone for me.