Normally, GRX runs in fullscreen mode and there is no 2nd window where
You mean in the non-X11 versions?
Yes - except for win32, which is also windowed.
It might be possible under Linux (FreeBSD?) to use two virtual consoles this way (i.e., run the GRX program on one console and redirect its standard I/O to another one or set it up via newterm() in curses). I've never tried this and don't really plan to, though ...
Neither did I, and don't care to.
I don't use MS-Windows, so I don't know if it's possible to launch a GRX program from the command line window and let it open a graphics windows and still do text I/O.
Yes. Maybe - just maybe - I'll try to write a DirectX win32 video when I'm not so busy. It may or may not have the DGA2 stdin limitation. BTW, you can inspect _XGrWindowedMode (#define-d to 1 if DGA2 is not compiled in GRX) to see if your X11 GRX app runs in a window or DGA2 fullscreen.
Maybe it's possible to run a DGA2 GRX application not from xterm and use the terminal from which X was started to do console I/O. I have no time to test this now - a locked-up DGA2 requires restart via "reset" :-(