You don't have to; you could just use the Print Screen key to capture a screenshot of the error message. Not quite as convenient as if copying popup text was possible, but better than nothing.That would only really be useful if you were able to copy the contents of the popup box, which I have sadly never seen in any of SRB2's(or most programs) errors.
Personally, I'm all for the idea of displaying the EIP in the message.