I prefer to use native Alert from nokia LCDUI. the LWUIT for Series 40 allow us to combine the LCDUI component along with LWUIT component.
For example, here's my code:
Alert loading = new Alert("MIG33", "Loading user", null, null);
loading.setIndicator(new Gauge(null, false, Gauge.INDEFINITE, Gauge.CONTINUOUS_RUNNING));
javax.microedition.lcdui.Display.getDisplay(this).setCurrent(loading);
Since LWUIT has its own Display class we use in the midlet. It has to be written like above. So it can be differenced with the Display from LCDUI.