I don't know this for a fact (you will have to ask MSYS people if you
want a definitive answer), but I'm guessing that the problem is no one
ported Bash to MinGW. Since building a typical GNU package requires
to run the configure and libtool scripts, one cannot have a working
build environment without Bash. But if you take Bash from Cygwin, you
will need a few more programs, the ones that are common in configure
scripts, from the same toolchain, since they need to behave
consistently wrt symlinks, long command lines, absolute file names,
etc.