I have tried installing it on a fresh install of Ubuntu 20.04 in a VM and it worked fine. I have a few ideas on what it could be.
First of all, the install.sh installs the version of SDL2 that is in your distros repos. You said you have SDL2-2.0.14 which is 4 versions newer than what is in the Ubuntu 20.04 repo. It is possible that you might have 2 different versions of SDL2 installed. You might want to check that and uninstall one.
Next, try this: export DISPLAY=:0