I have two thoughts on this - one, Cygwin is an emulation layer is is trying to emulate *NIX on Windows. With any kind of emulation/virtualisation you're going to get a performance hit.

Secondly, I think ActivePerl is built with Visual Studio and all the "regular" MS provided compilers. I imagine these are all well placed to take advantage of all the quirks of the Windows API and get the best performance.