Don't mess with Jenny from the Block ...

Alex Rodriguez finally sealed the deal by proposing to Jennifer Lopez with a stunning $1.8 million rock while vacationing in the Bahamas on March 9.

A longtime pal close to the former baseball pro says the couple is, "so respectful to each other," but revealed his warning to Alex against messing things up with the "World of Dance" judge when they first got together.

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"Whatever you do, you cannot mess her around," the source told Page Six in an interview released on Saturday, March 16. "I said, 'This lady is like American royalty. Whatever happens, you cannot treat her badly."

The insider added, "If you split up for any reason, she has to be the one to dump your a--!' It's a lot of pressure on someone to date Jennifer Lopez! But they both fell in love."

Alex seems to have taken his buddy's advice to heart because the pair has been inseparable since striking up their romance about two years ago. According to the pal, they even show up to support at each other's work obligations.

"They're so respectful to each other," the source explained. "When Alex is working for ESPN, Jennifer goes and sits quietly in the booth because she likes to watch him. They have that kind of relationship. Likewise, when she was doing her [concert residency] in Vegas, he would fly in. He was at almost every show. The support level is incredible."

Even when Alex's former New York Yankees teammate Jose Canseco accused him of cheating on Jennifer with his own wife -- just hours after they announced their engagement -- the couple stood united.

"When you get engaged and that night you have some maniac tweeting that crap, that's got to be hard to deal with," the friend said. "But Alex and Jennifer are strong enough to understand who they are. People have tried to knock them down, but you can't fake love."

Alex's longtime pal says the couple knows they wouldn't have worked if they met 10 years ago because, "they were just different people back then." But now, "they both understand their worlds."

The sourced added of Alex: "He's met his match."

Alex, who shares daughters Natasha, 14, and Ella, 10, with ex-wife Cynthia Scurtis, has already blended his family with Jennifer's quite successfully. She shares 10-year-old twins, Max and Emme, with ex-husband Marc Anthony.

"Thankful for mornings like this with the ones I love most," Alex wrote alongside a family photo last November. "I am truly blessed."