You should be able to change the shell used by the build window and project tools. Go to Macro>Set Macro Variable, you can set "def_ntshell" variable to the path to the tcc executable, plus any command line options you'll need to pass to it. And restart SlickEdit after changing it, as a quick way to terminate any running cmd.exe shell, and go with the updated option.
For v21, with the python script already opened in the editor, you should be able to go to Project -> Properties..., go to the Tools tab, select the Execute tool, and check "Capture output" and "Output goes to build window". I think Ctrl-C should work fine too once that is done.
That will change the setting for that python script. You can also change the default settings for all python scripts you open. Go to Tools -> Options, then go to Languages > Scripting Languages > Python > Single File Projects, and hit the "Edit" button. You can make the same changes from the last paragraph, and that will be come the default when you open python files.
Looking at it, I think those Python stdout/stderr capturing flag defaults were changed to be on in a later release, that's in inconvenient default.