Dialogs on Windows aren't shown in the center of the screen. The native behavior on Windows is to open dialogs in the middle.

public class DialogDemo extends Application {
    @Override
    public void start(Stage primaryStage) throws Exception {
        Button button = new Button("Show Dialog");
        button.setOnAction(event -> {
            Alert alert = new Alert(Alert.AlertType.ERROR);
            alert.initOwner(primaryStage);
            
            // workaround
            // alert.getDialogPane().getScene().getWindow().centerOnScreen();
            
            alert.setContentText("Message");
            alert.setHeaderText("Header");
            alert.setTitle("Title");
            alert.showAndWait();
        });

        BorderPane root = new BorderPane();
        root.setCenter(button);
         
        Scene scene = new Scene(root, 300, 300);
        primaryStage.setScene(scene);

        primaryStage.show();
    }
}