Alert is not displayed when I show it before a redirect

If the response deveulve as status code HTTP 302 redirect, then the whole body of the response, in this case all the HTML will be discarded and the redirection will simply be made to the destination page.

The sleep will not achieve anything because it runs on the server and not on the client.

What you must do is return your HTML with a setTimeout and after the time interval has passed do the redirection by JavaScript, and without returning any header.

Example

echo '<script>';
echo '    alert("Error al Grabar Cheque:'.$arr[2].'");';
echo '    window.setTimeout(function() {';
echo '        window.location.href ="<url destino>";';
echo '    }, 5000);';
echo '</script>';

Depending on the PHP engine (Apache with modphp, Apache with fastcgi, Nginx with php-fpm) PHP may or may not write all the content once instead of printing it as you put echo.

If not, you could use flush

echo '<script language="javascript">alert("Error al Grabar Cheque:'.$arr[2].'");</script>';
flush();
sleep(5);
header('Location: index.php?controlador=ChequesController&accion=Listar');

but maybe that does not work for you and you do a lot of laps using other PHP options. (See this answer in StackOverflow where they ended up modifying the php.ini to that will work)

I would do everything with javascript.

echo '<script>';
echo 'alert("Error al Grabar Cheque:'.$arr[2].'");';
echo 'window.setTimeout(function() { window.location.href="index.php?controlador=ChequesController&accion=Listar";   },5000);';
echo '</script>';