I'm a classical saxophonist by training and profession, so I say, "Yes."
I've performed lots of Gershwin, Ravel "Bolero", Prokofiev "Lieutenant Kije Suite" with the Sydney Symphony many years ago. Rachmaninov "Symphonic Dances", and Bizet "L'Arlessienne Suites" with the Malaysian Philharmonic. I've also performed Milhaud "Creation of the World", Britten "Sinfonia da Requiem", and Bernstein "West Side Story Symphonic Dances" with amateur orchestras.
There are a few things to consider. Firstly, the standard of classical saxophone playing has improved greatly over the last decade or two. This is partly thanks to Dutch and French players as well as improvements in instruction and instrument design (Selmer Serie III, Yanagisawa, mouthpieces). Also, as more and more composers write for it, familiarity and expectations are heightened. The best of the current Dutch players can stand alongside any other woodwind professional. Things are better everywhere else in the world, too (esp. UK, USA, Australia, Italy, East Asia). In the past, you could hear lots of recordings with quite poor saxophone playing. I recall a Virgin recording of the Lausanne Ch Orc. doing the Milhaud in which the sax player makes lots of mistakes, including false entries. Some of the Dutoit Montreal Prokofiev recordings include some hesitant tenor sax playing. These days, players like Arno Bornkamp, Niels Bijl, Claude Delngle and others play with major orchestras all over the world.
I bumped into Louis Andriessen outside the Donemus office in Amsterdam many years ago and he said that he wanted to replace flutes and clarinets with a quartet of saxophones in his orchestral writing. I haven't checked whether he did or not.
It is true that there is a dearth of really great pieces by really great composers, but it's also true that there are more than most people may think. Highlights in my opinion: Villa-Lobos Fantasia, Glazunov Concerto, Martin Ballade, Creston Sonata, Caplet Legende, Yoshimatsu Fuzzy-Bird Sonata, Decruck Sonata, Larsson Concerto, Maurice Tableaux de Provence, Schmitt Legende, Glass Quartet (Concerto), Nyman Where the Bee Dances, Nyman Songs for Tony, Thompson Quartet no.2...probably others I can't think of.