This is perhaps because the default visual, which is used for normal windows, doesn't usually have alpha? Creating a child client window with an alpha visual, or the EGL surface for it, then maybe fails?
The question may be why it decides to use the pixel format with an alpha channel in the first place. Even though you have ~~`SDL_GL_DEPTH_SIZE := 24`~~ `R/G/B = 8/8/8` in the sample, it calls `wglChoosePixelFormat` with 32bpp and never matches the 24bpp formats.
Could you make the same log with glX?