Some many hours of debugging more, I managed to get the first Picasso96 / uaegfx screen to work:

Merging the WinUAE Windows render calls to the SDL render calls used in Janus-UAE2 was not so trivial as it seems. Finally I was just missing the call to update the display after drawing, so I saw a blank window for a long time. Luckily while debugging this, I cleaned up a lot of the code and fixed a bug or two. So after finally finding the right place to update the window contents, everything was working at once.

Bad weather outside is sometimes good for coding :-).