The error message that you see on demo site is generated from default action name. this name is given to action during it's creation. When creating the recording, you can rename actions as you need so that it's clear which one failed.
In general SEUM (now WPM) reports failures on a "step" level. Step is set of actions and it has a status as a whole. If you have some step containing lot of actions, you can manually split it into multiple smaller steps to get more granular reporting.
Active step alert resource contains any currently active alerts that are related to the step. You can set up different alerts based on step status, step duration etc. This resource is empty on demo site because there is probably no alert set for the step right now.
If you want to see what can WPM do, you can download our free trial version and try everything by yourself. It's really easy to set up and it takes just a couple of minutes. You can download from product page here: http://www.solarwinds.com/products/seum/web-application-monitor.aspx