Putting up an alert panel on the SUT seems like an odd thing to do. Will there be someone sitting at that machine while Eggplant is automating it? Are you expecting them to interact with Eggplant somehow?
In any case, to put up an alert there, you’ll need some piece of software that can display an alert. If the SUT is a Mac, this could be as simple as an AppleScript script that contains a “display dialog” command. Then your Eggplant script could run that script on the SUT, wait for the dialog to appear, then wait for it to go away (assuming a human operator will dismiss it).
Is this what you had in mind?