Where ? There are no problems in emulator ("clean" Android release).
Do you talk about your native smartphone ?
With custom firmwares all is possible. Many manufactures add settings for "security" reasons. Check phone settings.
BTW, SYSTEM_ALERT_WINDOW is really highly dangerous. For example, allows to create fake web pages over real and to steal passwords etc.
Documentation talks
Very few apps should use this permission; these windows are intended for system-level interaction with the user.