The alien has apparently predicted you'll take one or both. It doesn't allow you to walk away.
That's where the "paradox" lies. How can the alien's prediction not allow you to walk away? Obviously, choosing only B is a valid "decision path," as is taking B and then A. So if you look in B, and there isn't a million dollars, as a human being with normal faculties, how is it that you are forced to also take box A (and so validate the aliens apparent prediction that you would take both)? The alien just left the boxes there; he no longer has any "influence." Under a typical understanding of human psychology, a person clearly would not also take box A, once having found box B empty, thereby invalidating the alien's prediction. Likewise, a person clearly would also take box A, once he has already gotten the million dollars from box B.
Indeed, as you say, if we grant that the alien is correct, we will somehow "magically" be forced not to take box A once we've found a million dollars, or be forced to to take it once we've found B empty, but that dramatically violates common understanding of human behavior. That's why it seems very plausible that such a prediction is not actually compatible with the universe we live in.