I finally have this issue figured out. The problem lies in an MS Windows and GNU Emacs interaction. I debugged this further today by attaching to a debug version of the SDL2 DLL. You could imagine my surprise when I found that my OpenGL application was actually running as expected, but was just not visible. Running fullscreen worked as expected.
As I tried to narrow down what was going wrong with showing the window. This led me back to
http://svn.clozure.com/publicsvn/openmcl/release/1.9/source/examples/mswin.lisp and to this comment:
"Depending on how the lisp process was created, the first call to #_ShowWindow in that process might ignore its argument (and instead use an argument specified in the STARTUPINFO structure passed to #_CreateProcess.) SLIME under FSF Emacs runs the lisp with this flag set, and it's possible to waste a week or two trying to track this down. (Trust me.)"
Sure enough, CreateProcess() and ShowWindow() have that odd interaction where the first call to ShowWindow() is ignored depending on the STARTUPINFO passed to CreateProcess(). SERENITY NOW!!!
While there are a few different ways to solve this issue. The most palatable to me is to just call ShowWindow() twice when running in SLIME. I see that there is a w32-start-process-show-window variable and a way to identify a subprocess as a GUI app. This may or may not be appropriate for the inferior lisp process. I suspect that it would show the command prompt window as well as the GUI window.