Unfortunately it doesn't really do them any good to fatten them up a lot before winter, especially suddenly, especially with a lot of grain. It's about as good for them as it would be for us to 'pack on the pounds'. Given that you've just lost a horse thru Cushings, I would have thought a vet would have told you this. I would instead up his ration as it gets cold, to hopefully prevent him losing much. Also especially if you are going to feed grain, may be telling you what you know, but it is even more important to feed little & often, rather than only a few larger feeds daily. While most healthy horses are fine unrugged, he may benefit from a good warm rug, so he doesn't need to put so much energy into temperature regulation.
Chopped hay or chaff and beet pulp is likely better than normal hay for him at this stage of his life, as his teeth probably don't allow him to chew hay sufficiently. Alfalfa is low in sugars but high in energy & nutrients, so is generally a very good 'conditioning' food, but needs to be *part* of a balanced diet, being so high in calcium & other as to imbalance other nutrients if fed straight. High protein & such can be a prob especially for older horses tho, so worth considering. Rice bran is a good conditioning feed too. Adding a little fresh ground linseed to their feed, can help with addition of fats as well as omega 3s.