The alert itself is harmless, but demonstrates that arbitrary javascript - which could certainly not be harmless - can be injected into the page.
It's not the ability to display alerts that is concerning, but rather, the ability to run untrusted Javascript. This was a proof of concept that showed that it has a serious XSS vulnerability
For detailed information on what XSS is, how it can be exploited and prevented have a look at the OWASP XSS description