For further debugging, a few bits of info.
It could be a focus issue. Or app-active/deactive. (including code completion window)
You might want to compile with -dVerboseFocus -dSynCaretDebug
If you can run the log to console. Or a log file --debug-log=file
Then watch the output. So you can establish if there was a focus message.
And also if there was any "SynEditCaret ShowCaret "
If the caret is gone: shift-alt-cursor-down
This creates multiple carets (if you type text should appear on each line)
Do the extra carets appear?
If the caret is gone, go to Tools > Options > Editor > General
First Cancel, to see if that alone does bring back the Caret.
IF it is still lost, then go to the options again and toggle "visible caret in unfocused editor" and press ok, with that value changed. (It is the change that matters, not the final setting).
Though it may also be interesting, if the issue happens with that flag permanently on.