The real confusing thing about Helgen is its location. We learn later that Alduin is being methodical about resurrecting his dragon friends and doing them in a predictable order, but Helgen is right in the middle of the map with no dragon grave nearby--so what reason did he have for being there? I don't think anyone ever explains exactly why Alduin chose to destroy Helgen, especially when he doesn't do that with any other town or city in the whole of Skyrim.