This may be similar to the Motion Lighting issue.
Please clarify, you said Alexa turns on to 41%. Your posted image shows a last level of 30% -- was that image just an "outdated" capture? I.e., does Alexa actually turn on to the level shown on the device's web page (i.e., 30%) or does it always turn on to 41%? It may be that Alexa itself stores what it thinks is the last level (i.e., 41%) and uses that.
In other words, the "Use Last Level for On" setting may not actually have use other then when the "On" is done via the web page -- external apps / devices (i.e., Alexa) may have their own "memory" of their last level and could be using that.
Another thought is that Alexa may "eventually" sync with the Hubitat view of the last level, but cloud-based controllers may need a few seconds / minutes before sync up depending on how Hubitat communicates local changes back to the cloud based systems.
