IMessage prompt on iMac start up

This is something I wish iOS5 had. Alas, it does not - however if it fails to send as iMessage with send as SMS disabled, it will allow you to tap / hold (I forget which) and specify to send as text.

The main caveat to this, though, is that it doesn't 'alert' you per-se.

I don't think so because it wouldn't be able to tell which device you are using and when. But what you could do is change your mac notifications to not receive any notifications for the messages app, however if you use messages.app for other messaging services, you probably won't get notifications for those either though. But once you read the message on any of your devices it should disappear, so if you were on your mac and read it, it would disappear from you iOS lock screen.