The problem was argv_emulation.

I had argv_emulation set to True. When I double click the app in Finder, my app shows up in the Dock and the Status Bar. But neither the window nor the alert shows up. When I click on the Dock icon, then both of them show up. Here's a link to the entire project and a build that does not work:

Thanks to Ronald, I looked through an example and found that argv_emulation was not set at all. I set it to False and my app behaved as expected.

Is this a known issue?