Lazarus will start your program without showing a terminal window, so if it's a console program you'll have to make sure a terminal window is opened first.
For this to happen you have to change the Run parameters (Lazarus menu Run / Run Parameters).
I think the following should work (not tested on the Pi myself, though): activate 'Use launching application'. There should be several entries in the dropdown below it. Select e.g. the line starting with '/usr/bin/gnome-terminal' and then replace 'gnome-terminal' with 'lxterminal'.