This is not a JEDI-SDL problem it's just the way that all FPC programs and Delphi console programs will execute unless you tell the compiler to specify this to the OS.

Try this code at the top of your main program source.

[pascal]{$IFDEF Win32}
{$IFDEF FPC}
{$APPTYPE GUI} // FreePascal/Lazarus
{$ELSE}
{$APPTYPE CONSOLE} // Delphi
{$ENDIF}
{$ENDIF}[/pascal]

This will work for both Delphi and FPC/Lazarus programs.