In my experience, only the offical apps which break out using the standard MediaPlayer.framework will work with the iPhone AV cables. Those app include Quicktime, YouTube, iPod, Safari, and Streamtome. There are probably more but those are the one I've used personally. Unfortunately, the Slingplayer for iPhone only uses bits a pieces of the framework with a custom UI overlay, so it does not support TV out natively.
Jailbroken: Yes (via Cydia apps).
In the MediaPlayer.framework API there is a class called MPTVOutWindow that can be used to force TV out. Unfortunately, its an undocumented class, so its not offically supported by Apple. All of the apps that have tried to used it was denied on the iTunes App Store. However, if you have a jailbroken iPhone you can get apps like TVout2, Landscape TV Out, or ScreenSplitr in conjunction with the Slingplayer app to support TV out via the Apple Composite or Component Cables for iPhone.
I'm in the same boat. I bought the Slingplayer and the A/V out cable for my iPhone exepcting to be able to watch my slingbox on a screen since Youtube and iPod works on TV out so I thought is was aa no brainer that the SB would also, but I'm very disappointed to find that it doesn't work with the slingbox. My old HTC touch worked great for this. Please Sling, make this happen soon! PLEASE?