In reply to George Franke.

For this highly degenerate example, the GCV is flat for alpha >= 0.5. Therefore, the optimal value is not unique and any parameter in [0.5 1] is a valid optimal value.

When ODS GRAPHICS are on, PROC LOESS produces a criterion plot and a table that shows the selected smoothing parameter. To see only these outputs, use
ods select CriterionPlot SmoothingCriterion;

You can see the global shape of the GCV curve as a function of the smoothing parameter by using an option on the MODEL statement:
model y=x / select=GCV(global);