I would like to see this too.
The only way to have such a thing would be to use an additional GUI library but this is way to heavyweight just for showing an error.
Showing errors in errordialog is at least on windows standard and not inconvenient on other plattforms so I think it really is the best way to inform the user that an error occured.
You could make an errorfunction in the Systemlib or wherever which shows an messagebox, logs the error and so on, I think this would fit sfml much better then adding a messagebox class since a general messagebox would be a gui element..