Attempts to interact with him after he delivers his message will be in vain, he will not engage you in dialogue any further.
He can be killed in the street on The Strip without inciting a reaction from nearby non-player characters or Securitrons, although it will cause you to gain infamy with the Legion. Even if you move to a spot where you are hidden and sneak attack him with a sniper rifle or other weapon that can kill him in one hit, you will still receive infamy with the Legion (you can still loot the dapper gambler suit from his corpse, however).
After he has delivered his message, he may be encountered outside the Strip entrance, and the Securitrons will kill him as a trespasser.
pcps3xbox360 Long after inviting you to meet with Caesar, he may appear, run up to the Courier, and initiate dialogue saying only "What do you need?" while your only option will be to end the conversation. This can even occur inside private hotel suites. (This can happen if you never met Caesar, or even if you have already killed Caesar). [verified]
When this occurs, Alerio may become permanently stationary at the Lucky 38 Hotel's entrance.
If you kill him when this occurs, he may respawn after a random amount of time.