Alpha Centauri is 4.3 light years away. If it exploded suddenly, would we be able to know this in advance? As the light from the supernova will not reach us before 4.3 years.
Yes, you would get a few hours warning from the intense pulse of gravitational waves and neutrinos caused by the core collapse. Incidentally, I should say that this does not actually apply to Alpha Cen, since this is a solar-type star that will never produce a supernova.
The gravitational waves and neutrinos also travel at the speed of light (well, almost in the case of neutrinos), but they can escape promptly (within a few seconds) of the core collapse, whereas the "fireball" that produces the electromagnetic signature takes several hours to work its way to the surface of the star.
No information can travel faster than the speed of light in a vacuum. Gravity also travels at this speed. So if Alpha Centaury had any change 4 years ago we would have no way of knowing it for about another 0.37 years. We see it and feel any gravitational effects from it as it was about 4.37 years ago. About 4.37 years after events happened at Alpha Centauri, we would receive the information as it occured in the past.