Thank @giordano and @kristoffer.carlsson for the answers !
In fact, on my laptop under cygwin I was shortening the cygwin PATH in the .profile, so both ddls were not found. Now, with same path as Windows (plus /usr/bin, /home/bin, and similar, but no deletion), they are found as
MSIMG32.dll in C:\WINDOWS\SYSTEM32\MSIMG32.dll
libssp-0.dll in C:\Program Files\mingw-w64\x86_64-8.1.0-posix-seh-rt_v6-rev0\mingw64\bin\libssp-0.dll
(as I have installed mingw64 also).
Note that, I suppose the right one should be in fact
C:\Users\davidj\AppData\Local\Programs\Julia-1.9.0-alpha1\bin\libssp-0.dll
? I then hope that this does not implies problem, of not using this latter one.
On the nucxi7 whence it fails in pure Windows, as per your recommendation I will try to install GDI (or required media libs when I find the ones needed), and then see what happens and report it.
Many thanks to you both wonderful experts !