Anyway, problem solved.  Thanks for listening!

My setup: Using Reaper as my DAW, there's a tool called "MIDI Pitch Wheel LFO".   You can use it to send pitch wheel messages to other plugins.  So I put a MIDI file, the LFO tool and Pianoteq on a track and press play.  Result: Pianoteq plays the MIDI file but doesn't respond to the pitch bend messages.  But if I open the Pianoteq GUI, then I know it's receiving the pitch bends, for two reasons.  If I click on the on-screen keyboard, then I hear a note with vibrato.  And if I open the options dialog, it prints out all the MIDI messages it's receiving, including the pitch bends.

Other things I've tested:
- Same setup with a softsynth VST in place of Pianoteq.  With Surge or Odin2, everything works as I expect.  I can hear the vibrato.  (By the way, Surge and Odin2 are free downloads for any of Linux, Mac, Windows, in case anyone else wants to test this.)
- Draw some pitch bends into the MIDI track using the mouse, then play within Reaper.  Fail: no vibrato.
- Draw some pitch bends into the MIDI track using the mouse, save the MIDI track, then play it using Pianoteq standalone.  Success!  But I really prefer to do this within a DAW if possible.

Has anyone else run in to this issue?  Or can anyone replicate this behaviour?  Any idea what's going on?  Suggestions for how to fix it?

Thanks in advance for your advice (as long as that advice isn't "give up now, pianos aren't supposed to have vibrato")!