Macedonia demonstrated that there were riches and conquests to be made into India.
Actually, India was the reason Alexander's conquest meet an end in this region, having met too much resistance with his troops having trouble dealing with Indus' kingdoms, and the Nanda Empire (from Himalaya foothills to Great Rann) was much more powerful, as was Gandhara.
If something was demonstrated, it's that Macedonians couldn't take India without any campaign being a huge bet; and that they eventually let Indus' kings in place without garrison.
Don't get me wrong, it had important consequences on connecting Eastern Mediterranean to India, but for what matter Macedonians and Indians, it was more or less a gigantic raid.
Instead the Romans grew along coasts and/or northward into colder and damp climes.
Remember that they were climatic changes, though. Mediteranean climates went much northern than nowadays, and were fit for roman agriculture.
Eventually Roman conquest, because they were the result of several campaigns with many different reasons, at the contrary of the more or less meteoritical Alexandrine conquest doesn't have a same geopolitical motive.
From the more or less existential threat that Carthage was, that lead to the conquest of Mediterranean island, to the politically (inner politics) motivated conquest of Gaul...I don't think we can't say there was one motivation or clear land-grabbing grand strategy.
What changed from Alexander's invasion of India in 326 BC to Caesar's climax four hundred years later in 117 AD/CE?
Persians getting in the way, mostly.
Alexander managed to get the Achemenid Empire down (sort of, he eventually had to adopt a lot of Persian features and structures, would it be only to keep his empire running).
Not that Achemenid Empire was significantly weaker than its later counterparts, but I think that the proximity of Alexander's bases, the lack of other pressures (he dealt with that before going in Asia) and tactical superiority played a role.
Romans being more stretched out, they didn't beneficied from same assets : Trajan (as other emperors) managed to get up to Mesopotamia and take the capital (the vassalic nature of Parthians and Sassanian Empire helped there, as the loss of the core region didn't implied collapse of the empire) but never to hold it (by 117, Mesopotamia was abandoned to itself, turned in an hopeless client kingdom).
Did the Romans consider Alexander's move far eastward to be folly, much as his troops did?
Alexander was mostly seen positively, and his campaigns in India were mythical. Which may be the problem : Plutarque was quite expensive about India's wealth, wonders (up to military ressources)...
It's was less about "let's get these wealths" than "There's, far far away from there, a land ridden with gold".
While you had exchanges of embassies between Romans and Indians rulers (during Augustus' reign for exemple), nothing really came out of it : it was too far to draw alliance with or make war.