Hey @Hedibn
I believe this is currently not supported as a direct action in flow. You an probably create a JS code as a web resource and put it on a field change and this field can be changed by flow and finally show the alert message.
If you think this should be added as a functionality/ feature for flow and D365/CDS entities, you can create an idea or upvote similar ones here: https://powerusers.microsoft.com/t5/Flow-Ideas/idb-p/FlowIdeas
Hope this Helps!
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