First, note that your "direct" example says that Bob said "he", i.e. he was talking about somebody else seeing Alex last week; but your indirect examples would be taken to mean that Bob saw Alex, unless there was a context already established that he was talking about somebody else. I@m guessing that you meant that Bob said "I saw Alex last week".
As to your question: If Bob actually said "I saw Alex last week", then the formulaic choice for reported speech would be the so-called past perfect:
Two days ago Bob said he had seen Alex last week.
That is perfectly good: there is an identified later point in time (the point when Bob spoke), and so the function of the "past perfect" of looking back from a later time is satisfied.
But English speakers often do not bother with that form if the temporal relationships are clear, and there is no reason to focus on some later point in time as the viewpoint. Since two days ago and last week are both expressed, the relationships are clear. So
Two days ago Bob said that he saw Alex last week.
is quite normal.