"The section of code that is failing is ..."

That statement is completely wrong.

Your own OP has:

#   Failed test '$! should not be altered by NYTProf i/o'
#   at t/50-errno.t line 58.
[download]

The URL I provided (https://github.com/timbunce/devel-nytprof/blob/master/t/50-errno.t) links to code with line numbers. The SKIP block starting at line 50, and ending on line 59, contains "t/50-errno.t line 58".

"Is SKIP just an arbitrary label?"

No, it's not. Probably the most frequently used test module is the core Test::More (wherein you'll find SKIP). If you're going to investigate "*.t" files, you should be familiar with this module; although, be aware that there are many other modules in the Test:: namespace. I'm a strong advocate of testing and would recommend that you read up on Test::More anyway.

"How do I know if this test is safe to skip for Cygwin?"

The short answer is: "you don't". A longer answer would, to some extent, depend on your definition of "safe". It's a developer's tool so your clients will be unaffected. If you are genuinely concerned, don't use this module.