Alex: I wanna prove to my dad that I'm a *real* lion.
Marty: As opposed to what, a *chocolate* lion?
At the end of the movie, it's revealed how Alex can tell Marty apart from all of the other Zebras - when Marty walks away from the "camera" it shows the huge bite mark on his backside that Alex gave him in the first movie. However, the bite mark is never seen in any other shots of Marty's backside throughout the film.
If you look at the birth mark on both Alex's and Zuba's right paws they are in the shape of Africa, including the island of Madagascar which is off the east coast of Africa.