Actually, the fact is that I was not alert enough this ‘morning’, to act on the information myself, before relaying it to you. 
The output which I just posted proves, that my /etc/ld.so.conf.d directory must not have been doing its job correctly. And this is how I solved my problem:
root@Thunderbox:/etc/ld.so.conf.d# ls -l
total 12
-rwxr-xr-x 1 root root 64 2006-08-02 08:24 i486-linux-gnu.conf
-rwxr-xr-x 1 root root 25 2008-11-30 21:55 ogrenew.conf
-rw-r--r-- 1 root root 17 2009-11-08 01:00 panda3d.conf
root@Thunderbox:/etc/ld.so.conf.d# chmod a+x panda3d.conf
root@Thunderbox:/etc/ld.so.conf.d# ls -l
total 12
-rwxr-xr-x 1 root root 64 2006-08-02 08:24 i486-linux-gnu.conf
-rwxr-xr-x 1 root root 25 2008-11-30 21:55 ogrenew.conf
-rwxr-xr-x 1 root root 17 2009-11-08 01:00 panda3d.conf
root@Thunderbox:/etc/ld.so.conf.d#
The file panda3d.conf, which your installer left there, did not have execute permissions set. And once I did set those execute permissions by hand, I can now do the tutorial, and I get the gray window. I also get momentary noise from my speakers which I’m used to on this box, which tells me that sound output has been opened.
Therefore, Panda3D could not well have loaded any modules the way it was before, until this problem was fixed.
Thank you for the support, rdb!
Dirk
P.S. Yes, it’s another piece of weirdness on my computer, that I’m using the SPDIF sound output, yet that I have it connected to an ancient amplifier. The latter causes a brief ‘coughing sound’ whenever a stream is being opened. Rather than try to fix it (probably by buying a better amp), I use this as a hint to my brain, that sound output has been opened, even if silence is being played. And the Panda3D tutorial now runs without any error messages at all in the “Konsole” console window, with the gray window displaying successfully, and with a ‘silent’ sound stream being opened.
This gives me the additional reassurance, that my ffmpeg libraries should also be fine…
P.S.S. Now that I have also rebuilt ODE, the question was bothering me, of whether I’d also need to rebuild OGRE, since I like to have more than one option of software to use. OGRE has nothing to do with Panda3D, except for possibly being a competitor, yet of not being a game engine by itself.
But now that I got back home, I inspected my software and relearned, that in compiling OGRE, I used a special version of ODE called ~OGREODE~ . I doubt that this is a wrapper for the other ODE, which is installed globally. And this makes my earlier claim a memory error, according to which building OGRE depended on a specific ODE version to be installed globally.
AND, since OGRE demos still run well, it would be a huge mistake to rebuild that.