There are several reasons to this:
1. As its an Alienware it has an OEM version of Windows installed, so when you change a major component like a motherboard it is considered by Windows to be like a new computer, thus possibly requiring a new license.
2. It is good practice to re-install Windows when changing components major components like a motherboard. If your new motherboard however has the same chipset, then you might not necessarily need to re-install windows, but you might still need to get a new license.