I'd updated the AS Perl to latest version of CPANPLUS a while ago. So today was cygwin's turn for the treatment.
My first indication that all might not be well was during the CPANPLUS' testsuite, when mention of C:mingwdmakedmake.EXE started and alarm bells were starting to ring in the back of my head. But I thought I'd install it anyways and worry about it later.
When I fired up my new shiny cygwin CPANPLUS was when it finally dawned on me what was going on. It was using the CPANPLUS::Config::User settings from AS Perl. With no apparent way of making it do otherwise. *suck*
A bit of digging about revealed that CPANPLUS works out how to find the user's homedir by checking APPDATA then HOME. Unsetting APPDATA in cygwin seemed to solve the problem, so I have now amended by cygwin.bat accordingly.