Why when aliens Invasions during Fry's cryosleep the alien did not destroy the cryogenics lab in old New York
As illustrated by the What-If Machine in the episode "Anthology of Interest I", it would create a universe-ending paradox if Fry didn't get frozen in the cryotube and sent to the future. Presumably, destroying the cryogenics lab storing that tube would create the same devastating paradox.
This paradox is likely thwarted by the fact that...
...Bender is actually the one responsible for the destruction of Old New York (at least the first destruction, and probably the second) when he traveled back in time using the time code, which has paradox correction capabilities. Had Bender tried to destroy the cryogenics lab, and thus Fry as well, some unforeseen doom would likely befall him first and stop him from doing it, avoiding the paradox.
Good question. I see two possible explanations. First the less likely; It could be a residual effect of the Luck of the Fryish (Philip J. Fry's/Philip Fry's seven leave clover).
More likely would be an involvement by the Nibblonians. We know that Nibbler (and later Fry himself) was responsible for Fry getting frozen in the first place.
Since the Nibblonian prophecy foretold Fry's importance, they could have taken measures to protect the building with Fry.
Also note that at least one of the devastating destructions of New New York was caused by Bender. There is a remote chance he avoided the cryo-building, as he always hesitates to kill that one human.