If I start MacVim from the dock, it launches, but it doesn't have an open window. File / New Window and File / New Clean Window are grayed out (and of course don't do anything).
If I start MacVim from the command line, e.g.:
$ /Applications/MacVim.app/Contents/bin/gvimthen a window opens. The "new window" menu items are still grayed out. Running that command line again opens a second window.
It happens when installed with "brew install --cask macvim" or from macvim.org.
Versions of stuff: