The Alexa ranking is used to estimate traffic on a website, so only domains used on websites would earn a score. This score can influence the perceived value of a domain if the buyer is knowledgeable about Alexa rankings, because it is likely the new owner would get the benefit of the traffic destined to the website. If the buyer is either unaware of the Alexa score meaning, or they have no interest in legacy traffic to the website, then the score carries no weight with the buyer.
Your fellow domain investors usually care about this stat, because it implies TRAFFIC from search and/or backlinks and/or direct users. If you are launching a business, or running an affiliate program, or lead generation, or even placing on a parking service - then traffic converts to dollars - so that is good!