Sometimes a window pops up with an error message from an application. It
takes the keyboard focus immediately. If I am typing in another application
and happen to press Enter just then, I just see the window border appear
and disappear without knowing what I have approved or cancelled.

Proposed solution:
If a dialog is shown from an application other than the one with the focus
do not give it focus immediately, but after, say, 1 second. So first the
dialog is shown on top, but is still not made active. Any keys being typed
still go to the original focus holder. After 1 second, give the focus to
the dialog.