You just need your passport with your retirement visa, and a Residence Certificate from your local immigration and it should not be a problem opening a bank account.
Bank have been more strict with this lately, but since you hold a long term visa, it should not be a problem.
Thailand doesnt really care if your status is pending or not. They will let you in on a visa exemption if you are eligible for one and dont have a lot of history with coming and going to Thailand.
The problem is if your embassy requires you to attend a interview in person at the Thai embassy in the country you applied in.
They may very well reject your DTV application if you can't go and they realize you are already in Thailand.