There are a few known situations where that can happen. One of them is when you had a second (or third..) screen connected before, and after you disconnected one of them, HeidiSQL starts with its main window on the no longer existing area.
In this case window has to appear on Alt+tab, and it doesn't
Another cause is when HeidiSQL restores your query tab backups, which is in some rare cases very slow. And I mean really slow, this can take up several minutes. Newer versions show a dialog when one of the tab files took longer than 10 seconds to load.
I had only few query tabs, nothing fancy. I wait for a long time, no window.
And. I guess, in this case it also has to appear when Alt+tabbing.
It is not even in Apps list of Taks Manager.
PS: I've downloaded portable version and it works!