I don't see how it could be Alfred's fantasy. We clearly see Bruce seated at a table with Selina; when did Alfred ever meet her?
Lastly - did anyone else notice that Alfred's line from the trailers - "I promised your mum and father I'd take care of you, and I've failed." (I'm paraphrasing) was absent in the film?
Alfred meets Selina when he thinks she's one of the maids at Wayne Manor.
Most people are noticing a few things were cut. Such as Selina going down Gotham City Hall steps on the Batpod.
It was most likely cut because the stuntwoman crashed into an IMAX camera going down the steps.