Now that MCP relies on ICU 50 for its String class (and likely other globalization related classes in the future), we need to build and install ICU first in order to get MCP to compile on Cygwin.
For some reason, the default build instructions does not work. Make will error out (-f pkgdataMakefile is unrecognized by /bin/sh). The problem is with ICU's runConfigureICU script which doesn't properly configure compiler / linker / make flags for Cygwin. Worse, if you follow the instructions and ran runConfigureICU Cygwin, there will be more errors you'll have to deal with.
This is what I had to do instead:
Notice the first line after you run runConfigureICU Linux. It exports CC, CXX, CFLAGS and CXXFLAGS appropriately. The runConfigureICU Cygwin version however does not. All that the former was missing was a MAKE export. Once you've done that, you can go ahead and make.