Installing via opam and using the cygwin method is supported and should be working fine (cygwin is just used for build - binaries still just link with mingw).
That specific combination (ocaml + mingw) has a known problem with ocamlfind that's still awaiting a new release (see https://github.com/ocaml/ocamlfind/pull/112). ocamlfind underpins quite a bit of the package ecosystem, so this one is annoying, as the mingw workflow is otherwise quite good.
It's incredibly painful working with OCaml and dune on Windows, unfortunately. Docs are insufficient and there is little information online :/, wish it was not the case.
That specific combination (ocaml + mingw) has a known problem with ocamlfind that's still awaiting a new release (see https://github.com/ocaml/ocamlfind/pull/112). ocamlfind underpins quite a bit of the package ecosystem, so this one is annoying, as the mingw workflow is otherwise quite good.