In my experience, the only 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.
If you think this feature should be considered in future versions, I suggest that you move the post into the Enhancement Request forums (http://support.slingbox.com/get/KB-2000297) by using the "Action Panel" on the right hand side. These forums are technical support and it would be pointless to troubleshoot a feature that is known to be unavailable.