Play with the Cygwin install tool to understand how it works (the UI confused me initially). I would start with the older release, and read the release notes for it and for the newer software, to have some idea of what bugs were found & fixed or not (especially any compatibility issues with the Windows o/s you are using).

After you have a working system, and have read some docs & used it a while and made some mistakes, you'll be in a better position to know if you want to, or must, upgrade to a newer release. Most of the pieces I have used have been solid and I have rarely found it necessary to upgrade. Upgrading can be a straightforward process.

Having real CPAN on a Windows o/s is a great benefit for me, but I am not writing Perl code for deployment on various Win systems. I can install Cygwin on the machines I use. Your environment and requirements might be different.