Why is my PyGame application not running at all?

I have a simple Pygame program:

#!/usr/bin/env python

import pygame
from pygame.locals import *

pygame.init()

win = pygame.display.set_mode((400,400))
pygame.display.set_caption("My first game")

But every time I try to run it, I get this:

pygame 2.0.0 (SDL 2.0.12, python 3.8.3)
Hello from the pygame community. https://www.pygame.org/contribute.html

And then nothing happens. Why I can't run this program?

Your application works well. However, you haven't implemented an application loop:

import pygame
from pygame.locals import *

pygame.init()

win = pygame.display.set_mode((400,400))
pygame.display.set_caption("My first game")
clock = pygame.time.Clock()

run = True
while run:

    # handle events
    for event in pygame.event.get():
        if event.type == pygame.QUIT:
            run = False

    # update game objects
    # [...]

    # clear display
    win.fill((0, 0, 0))

    # draw game objects
    # [...]

    # update display
    pygame.display.flip()

    # limit frames per second
    clock.tick(60) 

pygame.quit()

The typical PyGame application loop has to:

handle the events by calling either pygame.event.pump() or pygame.event.get().
update the game states and positions of objects dependent on the input events and time (respectively frames)
clear the entire display or draw the background
draw the entire scene (blit all the objects)
update the display by calling either pygame.display.update() or pygame.display.flip()
limit frames per second to limit CPU usage with pygame.time.Clock.tick