SDL_DisplayFormatAlpha() is rather complex (check out code in SDL_compat.c) and not available for 1.3, which means everyone who wants this functionality with new 1.3 code (not old-style 1.2 code) needs to copy it and adapt it to work with their own target surface (instead of the hacked SDL_PublicSurface dependency of the SDL_compat.c implementation).

As far as I understand it, SDL_ConvertSurface() behaves like SDL_DisplayFormat() and is therefore not a helpful replacement without quite some extra code (which isn't exactly straightforward for beginners).

Suggested implementation based on SDL_DisplayFormatAlpha() (I give up all rights and blah (changes public domain), it is also really just SDL_DisplayFormatAlpha() with 1-2 altered lines):

SDL_Surface* SDL_ConvertSurfaceAlpha(SDL_Surface* src, SDL_PixelFormat* pixel_format, Uint32 flags) {
	SDL_PixelFormat *vf = pixel_format;
    SDL_PixelFormat *format;
    SDL_Surface *converted;
    /* default to ARGB8888 */
    Uint32 amask = 0xff000000;
    Uint32 rmask = 0x00ff0000;
    Uint32 gmask = 0x0000ff00;
    Uint32 bmask = 0x000000ff;

    switch (vf->BytesPerPixel) {
    case 2:
        /* For XGY5[56]5, use, AXGY8888, where {X, Y} = {R, B}.
           For anything else (like ARGB4444) it doesn't matter
           since we have no special code for it anyway */
        if ((vf->Rmask == 0x1f) &&
            (vf->Bmask == 0xf800 || vf->Bmask == 0x7c00)) {
            rmask = 0xff;
            bmask = 0xff0000;
        }
        break;
	  case 3:
    case 4:
        /* Keep the video format, as long as the high 8 bits are
           unused or alpha */
        if ((vf->Rmask == 0xff) && (vf->Bmask == 0xff0000)) {
            rmask = 0xff;
            bmask = 0xff0000;
        }
        break;

    default:
        /* We have no other optimised formats right now. When/if a new
           optimised alpha format is written, add the converter here */
        break;
    }
    format = SDL_AllocFormat(SDL_MasksToPixelFormatEnum(32, rmask,
                                                            gmask,
                                                            bmask,
                                                            amask));
    if (!format) {
        return NULL;
    }
    converted = SDL_ConvertSurface(src, format, SDL_RLEACCEL);
    SDL_FreeFormat(format);
    return converted;
}

As long as this isn't in SDL, everyone who wishes to do fast SDL_Surface alpha blits who doesn't want to code with the legacy 1.2 API implemented by SDL_compat.c will need to duplicate this porting effort. Therefore I suggest adding this (or something similar, e.g. a flag to SDL_ConvertSurface()) to mainstream.