I looked a bit more closely at the shared library issue with Cygwin.
If I type in the command to link the library from the binaries after doing a make, I get a message which says that Windows DLLs cannot have unsatisfied external references, and that I need to include -no-undefined in my linker options.
If I put -no-undefined on the command line, I get pages of error messages about undefined references to things like "vtable for IntCell."
So that's apparently why we aren't getting shared libraries under Windows.