The reason is that the binutils component that comes with egcs is different than in b18 and mixing will not work. I'm not going to sweat it. The first version of ming were compatible with kernel32. In fact, in my own setup, I just use the same import libraries for both cygwin32 and mingw32. I believe everybody agrees that the distributions should be merged in some manner, but I don't have time nor the incentive to do it.
Volunteers welcome of course.
Be aware however that combining the two distributions does have its drawbacks if you want to run the same binaries. Also, the native mingw32 gcc and company runs an order of magnitude faster than the cygwin32 counterparts.