When copying a file to or from a location which requires authentication, Finder's password prompt is not automatically in focus unless Finder was in focus before Alfred was activated.
I have been able to replicate this on several versions of Alfred 2, on two Macs; a MacBook Pro and an iMac.
This has occurred on both the latest stable version of Alfred, and Alfred 2.0.6 (203) on OS X 10.8.4 (though it has been happening long enough that I suspect it's always been the case).
Here is a screenshot tour:
I'm using the same basic process - copying an app to Downloads from Utilities (it works the same in reverse);
If Finder was in focus before Alfred, it regains focus and the password prompt is immediately in focus;
Otherwise, focus returns to whatever app was active before Alfred, and I have to Command-Tab to Finder in order to continue the workflow;
It'd be much better if Alfred forced the focus to be Finder when doing a move/copy operation, so even if a user was focused on another app at the time, they could immediately complete the operation they requested.