The Golden Rule of Equine Husbandry is that you give the horse what it needs, when it needs it, and in appropriate quantity and quality.
The standard is āneedā and itās the needs of the horse, not those of the husbandryman, that count.
If a horse is not maintaining weight under a current training regime then you have to look at two things: the training regime and the feeding program. If the training regime is reasonable then you add more feed. Maybe more in volume, maybe more in quality, maybe (indeed likely) a combination of both.
Adding alfalfa can be a good thing. I prefer the pellets to the cubes. They are small and can be fed without special preparation. They can be easily mixed with grains, supplements, etc. They donāt spoil easily (if kept dry) making storage easy.
The compressed alfalfa products are also good in terms of convenience. Some horse donāt like the āhardnessā of the flakes so you have to āfluffā it or they wonāt eat it well. This isnāt common but Iāve seen it once or twice.
The nutrition density of most grains is significantly higher than even the best alfalfa. This will vary from product to product as quality of ingredients vary. If you donāt want to deal with commercial feeds you can always go to straight oats or barley.
It sounds like the barn is very āmechanicalā in their practices. Having run a boarding operation before I understand this tendency and itās not always bad. But if youāre going to meet that āfeed to needā standard the barn may have modify practices. If that happens itās fair for you to pay a premium to obtain special treatment. No free lunch, donāt you know! 
Talk to them and see what theyāll do for you if you pay an extra fee to cover their costs in providing extra service.
Good luck as you go forward.
G.