It does seem inappropriate for Alex to make that comment. But the script called for it. Classical music can be divided into two categories - the works only people who are really into classical music would know and music that EVERYONE knows. Piano concertos, string quartets etc are examples of music only a relatively few people listen to. This includes works from composers that many people have not heard of. Then there is the EVERYONE music, pieces that we have heard in high school music class, as themes etc, pieces like the Moonlight Sonata, Beethoven's Fifth, Back Ode to Joy etc.
So when Alex makes his comment it seems like, as someone already wrote, that he is saying to Columbo, "I didn't think someone like you - being just a cop, would appreciate piano concertos. When Columbo mentions the Waltz album Alex, piece of trash that he is, says he forgot about it. Meaning of course that the Blue Danube waltz is something worthy to be forgotten - not because it is not pleasant music - but because Columbo, and everyone, know of it. He is basically telling Columbo - you might like that well known music but you do not - or cannot - appreciate more 'serious music' like piano concertos.
It is obvious that Alex would not forget about an album he recorded. He is "Just being a jerk."
And yes, what a ridiculous thing to say to his wife.
wow i'm glad I asked, I had no idea about any of that, thanks for the great answer. It makes me appreciate the episode even more, that's a great job by the writers.