I've been there! When I was pregnant we were robbed in the middle of the night, and I missed running into the guy downstairs by only a few minutes. I also was very upset. I had always wanted an alarm but my husband had poo-poohed me and didn't want to spend the money. Well, after we were robbed I informed him-- and I mean that-- that I was having an alarm put in and that it WOULD be used. He is also not someone who is super-sensitive to my wants, but in this case I just "threw down." You have a right- a RIGHT-- to feel safe in your house, and your wish to have the windows closed and the alarm on is not unreasonable.
So, how you handle this with him is up to you. I would have a very frank communication with him and say exactly what you told us. If that doesn't work, have the alarm fixed yourself. If he still is disrespecting you (and that, ultimately is what he's doing)-- you might have to disrespect him right back. Wake him up every time you are feeling scarred and ask him to go downstairs and check. Or get up and turn on the lights. Or get up and close all the windows (loudly) and turn on the alarm. Make sure the chime is on when you do it. If he wants the windows open because he is hot, get an air conditioner. What is more important than feeling safe in your house?
Good luck. Sounds like you just need to find what you did with your backbone. Some guys just are not going to think about others before they think about themselves until you insist.