That sounds like AppVeyor’s installation of Cygwin is broken. Open an issue with them.
Using MSVC would mean imposing that every one of your users on Windows has to also build their libraries with a compiler that is not supported by Julia (or most of the open source ecosystem for that matter - need inline assembly or an autotools build system or Fortran or want to cross-compile? MSVC is useless), and that their libraries also avoid all the problems from mixing runtimes.
Yes, #11754 is the last I’ve heard of anyone making a serious attempt at converting Julia’s build system to cmake. To make it a fully-fledged source build including the dependencies would be even more complicated, see https://github.com/JuliaLang/julia/pull/7761#issuecomment-58848806 for an estimation of the various deps as of a few years ago.