Basically your assumption “has to do something with GPU?” is right.
SDL_Surface is used in software rendering. With software rendering, as saloomi2012 correctly noticed, you are using regular RAM to store image data. Thus, in most cases you can access data buffer associated with surface directly, modifying its content, i.e. it is using CPU, hence the software name.
SDL_Texture on the other hand, is used in a hardware rendering, textures are stored in VRAM and you don’t have access to it directly as with
SDL_Surface. The rendering operations are accelerated by GPU, using, internally, either OpenGL or DirectX (available only on Windows) API, which in turn are using your video hardware, hence hardware rendering name.
Needless to say that hardware rendering is by orders of magnitude faster than software rendering and should be always be considered as primary option.