In SDL1, joystick events were received even when the window had no focus. This behaviour was explicitly changed on SDL2 to receive/ignore the events based on the windows focus state:

static SDL_bool
SDL_PrivateJoystickShouldIgnoreEvent()
{
    if (SDL_joystick_allows_background_events) {
        return SDL_FALSE;
    }

    if (SDL_HasWindows() && SDL_GetKeyboardFocus() == NULL) {
        /* We have windows but we don't have focus, ignore the event. */
        return SDL_TRUE;
    }
    return SDL_FALSE;
}

But when developing games, usually the IDE is an external program. This means that step-by-step debugging of a game with joystick support got quite more convoluted.

A simple solution to this problem would be to implement a SDL_CaptureJoystick function, similar (but not identical) to the existing SDL_CaptureMouse.

The idea would be just to be able to change the behaviour of the SDL_PrivateJoystickShouldIgnoreEvent to keep receiving joystick events without windows focus, or ignore them.