Yes Roxy did tell Alfie but not in a gossip way.. Alfie just asked why it was so important and Roxy just said Ronnie was always there for her and she wasn't there for Ronnie when her dad was abusing her and that roxy could have been next but Ronnie saved her from that too.
Aunt Sal is Peggy's sister, hence the remark from Ronnie about her and roxy been like Sal and Peggy