SDL offers a simple message box API, which is useful for simple alerts, such as informing the user when something fatal happens at startup without the need to build a UI for it (or informing the user before your UI is ready).
These message boxes are native system dialogs where possible.
There is both a customizable function (SDL_ShowMessageBox()) that offers lots of options for what to display and reports on what choice the user made, and also a much-simplified version (SDL_ShowSimpleMessageBox()), merely takes a text message and title, and waits until the user presses a single "OK" UI button. Often, this is all that is necessary.