If a Home Assistant integration for the device exist, use it… only leave them in Alexa if it is unavoidable.
The Alexa Media Player custom integration exposes some devices (temp sensors and light entities) that are connected to Alexa devices to Home Assistant. However, changes made by Amazon over the last year have reduced the reliability of the state representations of the connected devices in Home Assistant.
I still find this workaround using proxy entities to be more reliable, but it’s a lot of set up to go through if you have a lot of devices.