I can't use CPAN::Mini with it, as it relies on the pre-compiled PPM packages

With either a Microsoft compiler, or the freely available MinGW compiler (and the freely available dmake) you can build modules the same way on ActiveState perl as you do on Linux. Although PPM is the probably the more common route taken, it's not true that ActiveState perl is reliant upon PPM.

Not saying you shouldn't use Cygwin's perl (though, generally, I wouldn't recommend it) ... just having a bit of a nitpick over that first reason you gave :-)

Cheers,
Rob