Not sure if the underlying problem is a bug in the tool chain, a bug in Cygwin, or just some strangeness with my system, but everything seems to be working now

Probably none of the above. I suspect it's the version of ExtUtils::MakeMaker that's responsible. The version of EU::MM that shipped with my Cygwin's perl (5.10.1) is 6.55_02. I don't think that's an official release of EU::MM. It's more likely to be one that the Cygwin folk have put together to cater for shortcomings in the official version - such as the refusal to accept 'dll' as a file extension against which linking can occur.

There seems to be an (overly) ultra-conservative approach to fixing EU::MM and I know that ActiveState release their own renditions of EU::MM with ActivePerl. Looks like Cygwin might be doing the same. When you build perl from source you, of course, get to use only the official (crippled) version of EU::MM.

If you can locate and install this 6.55_02 version, you'll probably be better off.

UPDATE: Looks like Cygwin also provide their own build of ExtUtils::Depends, so it's also possible that the solution to your problem lies in there

Cheers,
Rob