Tested on El Capitan. IIRC, SDL_SetRelativeMouseMode didn't work at all, the cursor remained visible. After some workarounds, there are still issues with the cursor not re-centering correctly, menu bar remaining visible, etc.

It's probably because I'm on a random Git commit rather than a stable release, but I had to do that due to another issue. It's surprising how many things are in flux, given how long it's been around.