I can't say that all the Alpha Pro features are available through V8 of Mathematica, but certainly many are. Here are three examples:
Type "derivative of x^2" into Alpha. If you are not logged into the Pro version, you will be unable to access the result, other than as a visual image. In particular, you can't easily copy and paste results.
Or try, just "z^2-1" in Alpha. You'll notice a number of pods that have an "Enable Interactivity" button. If you press such a button, Alpha generates some type of groovy interactive CDF content, if you are logged into Pro. Without Pro, you can't interact with that content. In Mathematica, all those interactives are switched on by default.
Finally, Alpha Pro gives you direct access to scads of data for queries like "US Population history". You need Pro to do this or, again, you can do it directly through Mathematica without Pro.
I would be surprised if all Pro features work immediately through Mathematica. Do you have specific examples that you were thinking of?