I would guess that this is one of the examples where your debugger catches and reports the Exception that is probably properly handled in the next line or next few lines. I assume this since you only know that exception is being raised during the debugging session.

So I wouldn't worry to much about it unless it causes your application to fail (can't debug further after clicking on continue instead of break). If it does it would be good if you could post us more information as to where and when is such exception raised so someone can check to see if SDL2 code might be bugged.