The 52-year-old McLeish broke a footballing taboo by crossing the city of Birmingham, resigning from his job with relegated Blues before taking up the post at Villa soon after.
"I just couldn't believe it," he told BBC Radio 5 Live. "I never thought anybody would cross the city like this.
"It's a big, brave step. I hope it goes well because Villa is really a good club.
"The three years I was there it was a great derby - I wouldn't say hatred but it was a very intense derby and there was always a feeling that it was very hard for players to cross, and the same manager-wise - very seldom it happens.
"The feeling has always been it's something you never do.
"With Birmingham going down as well I think the fans feel he owes it to them to bring them back up again and to actually walk out on them and then to cross to Villa has caused, from what I've read and seen, big hostilities in the city."
He added: "The big thing Alex will have to do is get a good start. Winning games shuts everybody up and that's what he'll be judged on - and he'll have to do it probably quicker than other managers, who might have a honeymoon period.
"The fans are very demanding. They can be very vocal, but it's a very good club."