An AFCY abend? It timed out?
Have you checked the VSAM parameters as defined to CICS for both files? The alternate and the base must be in the same LSR pool.
The development people here, never use the VSAM Alternate Index.
I see some application here, that this may be very usefull, because here for now don't have Database (Like Db2).
So, do some definitions, the Cluster, the Path, and the AIX.
Next load a cluster, Buildindex, define the all in the CICS, but something is not correct, adn I don't understand why.