I think after you get the coach's warning that you've just played a bad move it would be better to simply append the coach message to the SCID or PGN file with the two numerical evaluations of the position: after the best move and after the move it was actually played.
As this is supposed to be a "serious game" I prefer not to write down in PGN any kind of analysis as the engine may itself be wrong (usually I give Toga only a few seconds ... and it easily wins). Annotation is a post-mortem process where the engine should analyse at full strength (and not with a limited number of nodes or fixed depth). So during this phase I prefer not to write any analysis, but the user, if taking back a move, will have the opportunity to enter a new variation, and he will see where there were a potential problem.
Revealing the exact numerical evaluation of the position while the game is still in progress is like giving away too much, don't you think? Or, it could be configurable, that is, the user could choose whether he wants to see the numerical evaluation in the popup message or not.
As I already wrote, I prefer human friendly messages instead of numerical scores (which meaning differ a lot between engines : see Rybka and Toga for example).