Alrighty, here's the deal. You already realized that we are using the % as the escape character in this case. If you want to have a % in your alias, you need to double it. In other words, you want to enter your alias as
RDebug::Printf\("@%%s.*\n
If you click on the arrow button next to "Insert Escape Sequence" on the Alias editor, you'll see the "Percent Sign" value on there. Still, it's not really intuitive if you are just trying to enter some aliases without looking at that list.
Hope that helps.