SDL_ShowMessageBox with a fullscreen app

I wanted to add a quick “Are you sure you want to quit?” message box when a user hits the Escape key in my app which is at full screen (using SDL_WINDOW_FULLSCREEN_DESKTOP)

But, rather than appear over my app, the app gets minimized and the message box gets drawn behind the Explorer window where I ran the app’s .exe file from - so the user can’t even see it!

Is this just expected behaviour for a full screen app? It’s running on Windows 7 BTW.