Thanks. Took a while for me to fix this problem. It appears to me that the choco version of the chicken is deemed limited when it comes to installing eggs - the openssl egg requires the libs and headers. But the libs must be compiled with a matching compiler that compiled the chicken compiler. This is hard. There's no guarantee this can work. The only solution that works for me is to compile and install Chicken from source. And use the same compiler to compile any necessary eggs down the road.
I documented my experience here[1]. Hope it can be useful for anyone who bumped into the same issues.