Well, I just installed this. I always assumed tmux wasn't compatible with Cygwin, but I guess it is.
Note that you can skip steps 2 and 3 if you install libevent-devel and libncurses-devel in step 1. The Cygwin provided versions of these packages are good enough (in fact, libevent is the same version.) Also, I didn't get any warnings when running autogen.sh, but I have all the available versions of autoconf and automake installed, so that might be why.