Winter sports instead of the war take the cover of World’s Finest 12 (Winter 1943).
Alfred makes his debut in this book in a story by Bill Finger and Dick Sprang. This story was likely in the files, as Alfred had already lost weight and gained his moustache in the regular Batman series.
The story fits firmly into the period when Alfred was a wanna-be detective, played largely for laughs. He does run across some criminals, but gets taken captive.
Bruce Wayne and Dick Grayson are on a fishing trip, but have taken a radio for Alfred to contact them, in case of an emergency. He lets them know his predicament, and they don their Batman and Robin costumes to help him out.
The three work together to take down the bad guys, and even the newspaper gives Alfred credit, to his delight.