SDL are nice, they are simple, they are easy to use in developing, but they are a bit slower than painting manually. For this reason emulators often do not use the SDL.
You do have the SDL installed on your Gp2x since the firmware uses them. Besides, most homebrew games incorporates their own updated version of the SDL even though you didn't notice.
The version in the archive is old and for old firmwares and games. Do not install it without a good reason.