The thread 'Win32 Thread' (0xf34) has exited with code 0 (0x0).

These thread warnings get outputted when initializing SDL right after this line is executed:

SDL_SetVideoMode( WINDOW_WIDTH, WINDOW_HEIGHT, video->vfmt->BitsPerPixel, flags )

Is this a problem? Why does this happen?

That message is completely normal output when thread ends its work.