XNA seems to be quite different from those-libs-I'm-not-sure-if-they-are-managed. So I'm avoiding it.
But it seems to me you probably want to look into XNA. XNA is one of the simpler options, has a lot of support and on line information, can be easily embedded in a Winforms application, and is similar to DirectX since it's built on it.
The biggest thing OpenGL (and their ilk, such as SDL) wrappers have that XNA doesn't have is a semblance of portability (ignoring the usual OpenGL to DirectX comparisons that I won't go into).
GDI+ is good for what it is meant to do - draw gui elements. I've