Right, in order for SEF Advance to find an Itemid, the item has to be added to main menu, either as listing, blog or article. Now if you don't want the link shown in the menu it can be hidden as you noticed, but must be there.
I think com_alphacontent has some strange way of creating its own Itemids which are in no way connected to Joomla's menu table. But if you get troubles with no Itemids it can be worked around by adding items to menu as you did.