I just installed the new 2.11 version and turned on window snapping.
Nothing seems to snap.
What exactly is supposed to happen and when?

You are probably using a nice, large resolution, right? Well the default setting is 20 pixels, which is really small on say...... a 1600x1200 screen. What window snapping does is that if you let go of a window while dragging it, and a side is within your defined pixels count to an edge of eitehr screen, it snaps to the edge of the screen. Try setting the pixel count to 100, that should make you see the effect.

Thanks, that was exactly the issue.

Not a problem, enjoy the feature. After Jon tuned up the mouse hooks, all the mouse functions of DF have gotten that much better, thanks Jon.