What is this pillar of light?

From the Elder Scrolls Wiki:

Despite being the central antagonist, Alduin does fly around Skyrim (resurrecting named dragons at times), and therefore can be seen outside of events of the main quest. It should be noted though that while he is attackable, he cannot be killed, and will likely fly off or retaliate with a Shout if provoked, however he cannot be forced to duel with player, regardless of taken actions. He is also immortal during these encounters - regardless of damage taken Alduin will fly away alive. If attacked early enough players can force Alduin to retreat before he manages to resurrect a dragon leaving the burial site intact, however the large column of light resurrection animation remains.

I'm not sure what caused him to flee, but this explains the pillar of light.