Not directly (or at least not yet), although Cosmopolitan already supports Windows natively; blink extends this support for Cosmopolitan and other x86-64-linux binaries to more platforms.

In other words, you can build a cosmopolitan executable (that runs on Linux, Windows, and other platforms) and extend it with blink, allowing the same binary to also run on those platforms that blink emulates.

For non-comsmopolitan binaries it needs a posix-compliant host (hence cigwin, but not Windows in general).

Correct-- Blink needs a (reasonably) POSIX-compliant system to compile and run, so it should work on Linux or BSD or macOS, but needs Cygwin on Windows.

> It seems that it does not support Windows natively,

It'll likely run on top of wsl