Without any disrespect to this great commander, let us not forget Alexander or Julius Caesar. Both these commanders are rated the highest military leaders ever by all the analysts the world over.
There is little doubt that Khalid (RA) was a superb military commander. However, it is a fact that at the Uhad, even though considered a victory for the Meccans (Hazrat Khalid bin Waleed was fighting against the Muslims), the advantages were not fully exploited and this gave Muslims the chance to recover fully within a year.
Alexander on the other hand would not have left the job unfinished. We are all Muslims but in our zeal, we should not get carried away and include "history of mankind" in our praise. Among the Muslims, Hazrat Ali also never lost a battle and in the famous battle of Badar 14 of the 70 Meccans killed were by the sword of Hazrat Ali (RA). It can be debated as to who would have won if Hazrat Khalid bin Waleed ( RA) and Hazrat Ali (RA) fought against each other on roughly equal terms.