One can only assume that since it's a supported cygwin package, it works.
You might not have some features like running on a tcp/ip socket (I haven't tried it on cygwin either), but I'm sure the entire database itself would run fine. (nothing weird like transactions wouldn't work, or something like that.)
As with all things open-source, whenever someone asks "will it work?" the answer is "try it & let us know"
Well, everything seems to be working fine on CygWin with us now - can connect to it remotely, set up permissions etc. Not tried any ssh connections as we won't need that on the Windows install of it (just for demo-ing on 1 box).