That's the first time I've heard this theory. That couldn't be the case, however. It seems to be simply a memory of the old Iron King, and not Sir Alonne. When he left, he simply left his armor and weapon, aswell.
Sir Alonne came to this land from the east,
chose to serve a little-known and unestablished
lord, and helped him become the Old Iron King.
Then, at the very peak of his sire's rule,
Sir Alonne set out again, in search of
lands yet unknown.
You see, I don't see this description as simple at all. It's incredibly evocative. For starters, I think that bolded bit is a metaphor for death. The player kills Sir Alonne and The Old Iron King lies about what happened to him for the morale of his troops and to keep his enemies at bay, takes his armour and builds a private memorial. Considering Sir Alonne almost single handedIy helped established The Old Iron King as a credible leader it would be fair enough reason to do so.
Here's my take on memories: We never see the owner of the memory
in the memory, except Vendrick and the Dragon (who is dead). We never see anything from their perspective, only our own. The memory is a residue, a weakening of time. I suggest that the player uses memories as a "device" to literally travel to the past, but isn't necessarily in the memory of whatever is remembering... If you catch my drift.
It explains how we can have killed the Giant Lord, how we can bring objects back from the past or leave them in the memory, why we see our character physically disappear into memories, why we can die in there, and why we can visit the memory of something that was already dead.
We're told that he left but his set might function like the king set where that's a memory portal thingy.
Right, but he's not gonna bugger off naked and unarmed, is he? XD
The King's Set is attached to the King's memory, right? Each of the Giant's tree corpses have their memories too. Why is this memory attached to something that isn't as directly related to The Old Iron King himself?