What makes it weird is that they're eachother's first go-to. In a real-world context, it's less like Russia and the US and more like some hypothetical bizarre relationship where the UK and France repeatedly declare war on eachother but then help eachother invade other countries.
It's make some degree of sense if the Alliance and Horde were in a constant state of strife but toned down their conflicts when a greater threat appeared. What doesn't make sense is how they constantly collaborate and then immediately go back to hating eachother. They're acting as if they're simultaneously eachother's biggest and smallest threat. In a real world situation, they'd either do the cold war thing and avoiding committing to aconflict, or actually commit to one.