In general you cannot do pop ups in the Smart Client.
But you can use an alarm list.
Video loss is in Milestone a very special event that is only relevant for video server devices. At any rate you can configure Alarm Definitions for
*System Events -Not Responding (for all cameras in the system)
and
*Device Events -VideoLoss (for video servers / encoders that have this event).
Short question -longer answer -I hope you feel the answer fits what you want to do.