There are currently three verification services in the WordPress.com dashboard – Google Webmaster Tools, Yahoo Site Explorer, and Bing Webmaster Verification.
Since Yahoo Site Explorer no longer exists (it has been merged with Bing), WordPress.com should add a new option for the Alexa ‘Claim Your Site’ feature. Like the other two, you need to add a code in the header section of your blog’s home page.
Yes I agree too, I just came up against this issue not being able to claim my site on Alexa with my WordPress.com site. It’s only because of minor niggles like this that make me consider going to another hosted WordPress.org hosted solution but it seems unnecessary when I get everything else I need from WordPress.com and when I have looked at other hosts I would lose a few of the WordPress.com features that I like so I would lose out either way. What I would love is if WordPress.com offered an optional upgrade for $5 per month to have all the current features and the features of a hosted solution e.g. able to install extra add ons, have ftp access to the root folder etc. Then things like verification for services like Alexa would not be an issue.