There's a differecne between Alox and Lee's liquid Alox. Alox bullet lube has been around for ages, and comes in round hollow sticks meant for easy use in the common (Lyman) luber/sizers. It isn't generally thought of as a good black powder lube, though I've used it for black in a Winchester 1886 and Colt single action 44 spl with decent results. The regular Alox meant for luber sizers is stickier than most lubes on commecially cast bullets, and is a bit more dirty to work with because of that, but I found it to be a good general purpose lube in the loads I mentioned, smokeless loads in the 45-70, and in the 44 magnum. I think it's head and shoulders better lube than any hard crayon like lube on the commercially cast bullets on the market.
I agree that your expander isn't adjusted right. When the flair is right, all you should have to do is set the bullet on top of the case and run the press ram up, seating and crimping. It will align going into the seating die. You can buy just the Lyman "M" expanding die that has the stepped expander for getting cast bullets started straight, though I've not had any troubles with the normal RCBS dies. With regular RCBS dies set to expand correctly, you should get zero lead shaving.
"Far better it is to dare mighty things, to win glorious triumphs even though checkered by failure, than to rank with those poor spirits who neither enjoy nor suffer much because they live in the gray twilight that knows neither victory nor defeat." -Theodore Roosevelt-