The Rulebook states:

"No more than three copies of any ally, attachment, or event card, by title, can be included in a player’s deck."

I wanna know if that rule applies to heroes too? That is, can I build a deck with 3 Gandalf (Ally) AND a Gandalf Hero? (I am aware of the fact that I only will be able to play the ally version if the hero die)

Thanks in advance.

You can, but unless your Gandalf hero dies you won't be able to put your Gandalf allies into play since they're unique.