Add documentation about dialogs and events

[Semphriss]

Description

I added documentation for dialogs about the case on Linux where handling events is required.

I did not mention the workaround with SDL_SetHint(SDL_HINT_FILE_DIALOG_DRIVER, "zenity") because I'm not sure how reliable that is (not all systems ship zenity, some features like modality don't work with zenity, some behavior may change in the future, new options can pop, etc).

Existing Issue(s)

Fixes #9703 somewhat, I'm not sure there can be any better fix than that.