Part of the issue with most software that uses MinGW is that it is written with posix-y operating system in mind. That is, operating systems that can very efficiently fork processes and quickly deal with many small files. Unfortunately, Windows does neither well. Process creation is slower, and NTFS is a very lock-happy filesystem.
Why do I consider this gross as a user? Things like Git that utilize msys are slow on Windows. As in, I notice the UI hanging. Things like autoconf are terribly slow on Windows due to all of the small processes that are created to detect the environment. Antivirus tools will lock files that are created and generally slow things down due to the nature of lots of quick-running processes creating and deleting small files.
These are just realities of most software written for non-Windows platforms. So whenever I see a program that requires MinGW, I'm always very hesitant to use it. The user experience tends to be terrible. I can still remember an issue trying to compile subversion on Windows using gcc and having it take well over an hour. Turns out with all of the processes being forked and temp files being created, the antivirus program was adding a delay to every command. After completely disabling antivirus it compiled in 15 minutes.
So, in one sense, this ins't a problem with MinGW or msys, but it typical of software that relies on it.
The other issues I have with them is that they don't integrate well with the native tools on Windows. For instance, Pageant is a good, graphical SSH agent on Windows. You have to mess around with environmental variables and plink and junk to get it so you don't have multiple formats of SSH keys on your machine. Trying to deal with SSH through bash and msys is not a user friendly experience. PuTTY is the gold standard of SSH clients on Windows.
Using msys/MinGW is like running X programs on OS X, Windows programs through Wine on Linux, or Java GUIs on any OS. It has enough strange warts and doesn't quite fit the feel of the rest of the OS.
That is where Go was awesome. I downloaded go and there were 3 exes on my machine. I ran "go.exe build source.go" and out popped an exe.