It’s not actually better. It’s main (only?) advantage is that it allows you to easily get and play the latest pre-release version of the game via github. That includes all the latest features and bug fixing, but also can introduce other bugs on its own.
In fact, using cygwin has its handful of drawbacks:
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Movement key presses are processed even when the game should be stopped/paused. That means that if you were pressing the key to move your character to the left (left arrow or 4) and autosave kicks in, once it’s done saving your character will move to the left for as long as you had the key pressed while saving, even if you aren’t pressing the key anymore. That single thing can and will kill you if you’re not aware and prepare for it, particularly while driving vehicles.
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Screen tearing while moving vertically
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Colors change. Brown turns yellow, light and dark green are indistinguishable, etc. It both makes the game uglier and breaks it slightly (for example, it’s pretty difficult to tell if a vehicle part is undamaged or lightly damaged, as both are the same green shade in cygwin).
Not to mention that every time you download and compile you HAVE to start a new game, as there’s no backwards compatibility at all.
So, unless you want to play the bleeding edge version of the game you probably should stick with the official windows version.