SBCL is built as a console application on windows, and defaults to not showing the first window created. (Possibly only when started from a graphical application like emacs/slime?)
Workaround is to call (glut:show-window) when that happens, but possibly cl-glut could/should detect that situation and do so automatically?
see CreateWindow, ShowWindow, STARTUPINFO, GetStartupInfoW
(This isn't specific to cl-glut. cl-sdl2(lispgames/cl-sdl2#23), commonqt(commonqt/commonqt#24) etc have the same problem)