I tried to debug this a bit more last night but there's still not much progress. I have some more data points, though:
1. If I start the LispWorks IDE separately, start SWANK from there and then connect to it via slime-connect everything works fine.
2. Instead of using the FLI you can just, from a fresh SLIME session, call (capi:display-message "foo") to hang SLIME. Can be "fixed" by entering a form into the inferior-lisp buffer as well.
3. Contrary to Alain Picard I can't reproduce the same problem on Linux. (Currently my Linux LW is 4.3.7 pro while on Windows I have 4.4.0 pro but I don't believe that makes a difference.)
My current guess is that this is somehow related to comint on Windows and the inferior-lisp buffer which is no-no land to me. I can live with the solution sketched in #1 but I'd still be happy to know what's going wrong.
Cheers, Edi.