He didn't take Alfred seriously. Deep down, he probably didn't think Alfred would ever leave him. In addition, in that one "Alfred?" it showed just how dependent Bruce is on him…he was like a son calling out for his dad.
Yes he did. He knew Alfred was leaving, which is why he was holding back tears. He said "Goodbye, Alfred" for a reason.
And Alfred leaving doesn’t mean he gave up on Bruce, just that he understood he had to resign. I do feel that he should have come back at some point before the end, and that this element was sloppily handled.