Mystery solved. As expected, this was a setup issue, although an intriguing one. For some reason, in the file dialog (and only there), my SDL generates a "SDL_KEYMAPCHANGED" event which totally confuses the SDL GUI handler. Interestingly, it has been added in SDL 2.0.4 so it surely must be coming only from my system. Why? No clue.
Btw that handler is pretty fragile as you can see, one unknown event and we abort everything, leaving the UI in quite a broken state.
Attached patch fixes my situation, I'll let you decide how to fix this, if ever.