Also, setting a bigger than desktop resolution succeeds, but the window is mostly out of the screen (I can only see the bottom right corner of it).
Setting a very big resolution (to force it failing) just crashes. According to the debugger, here's the problem:
1976 al_lock_mutex(present_mutex);
1977 display = d3d_create_display_locked(w, h);
1978 win_display = (ALLEGRO_DISPLAY_WIN *)display;
1979 al_unlock_mutex(present_mutex);
1980
1981 s = display->extra_settings.settings;
It crashes at line 1981 (my birth year 
). The debugger shows that display = NULL.
There's one annoying thing: allegro keeps trying to create a window for like 30 seconds. The taskbar goes crazy showing an allegro window being created and destroyed, until the crash.
Using Allegro 5.0.3 (precompiled binaries from here).
Note: Maybe this has already been reported, my allegro.cc search-fu is pretty weak 
[Edit]
I'm pretty sure I selected allegro development subforum, but it seems I did not 