If we change Constrain Angle in Preferences general, our grid gets rotated, all shapes get create as rotated...

Pretty powerful, right? Read more about it here, in the Rotate the x and y axes of a document:
https://helpx.adobe.com/illustrator/using/rotating-reflecting-objects.html

However, even though it’s an old feature, it was never completed, it seems.
Align functions just ignore it, making alignment to an angle a rather cumbersome endeavor: http://illustrator.uservoice.com/forums/333657/suggestions/39019732

This also makes Rotate View pretty useless (which does not counter-rotate the Constrain Angle, unless you use free Direct Prefs plugin by Astute Graphics to handle it automatically, among other things) — http://illustrator.uservoice.com/forums/333657/suggestions/44001624

While arrows indeed get fixed with the counter-rotation trick, Align is forever broken... as well as the selection marquee, which is also ignores both Rotate View and Constrain Angle altogether.