How can I review the most recently shown dialog box in OS X?
Unfortunately, I have to inform you, that there's no such possibility in OS X Yosemite. Operating system doesn't log this type of event for dialog windows.

The information you have - is not even enough to understand who fired this window to popup: was it dialog box, was it OSX window, was it another program with informational message which raised the popup, or it was simply styled popup/popover of the web-page you've been.

All OSX can do - is to reopen regular windows, programs, restore console, etc, when you reboot Mac OS X with a checkbox next to “Reopen windows when logging back in” that restores all of your currently open applications and windows. This state is stored, but not for dialog windows.