At the moment, its an "issue" with both Apple and Slingmedia.
There are other apps in the iTunes Store, like Streamtome http://itunes.apple.com/us/app/streamtome/id325327899, that allows you to use the Apple Component or Composite Cable for the iPhone to display on an external monitor or TV. Even the built in iPhone apps like Quicktime, Safari, iPod, and YouTube can do it too. However that's made possible by using the default MediaPlayer.framework. Unfortunately, the current Slingplayer Mobile for iPhone only uses portions of the framework, since they want to provide a custom user interface and quite possibly having an encrypted stream.
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.