One more important note about compiling software with MSYS2 is that the msys2 version of cygwin1.dll (i forget how it's renamed) obviously inherits the same license as cygwin1.dll. Cygwin1.dll is not LGPL. It is GPL. So any program you release compiled with MSYS2 inherits GPL virality, unless you pay Red Hat for a commercial Cygwin license.
This sounds like you're trying to scare people off using MSYS2 altogether with the GPL bogey man, and it misrepresents the point of MSYS2.
The 'msys2' software repository (as opposed to the 'mingw32' and 'mingw64' ones) contains things that link to msys-2.0.dll which is GPL, and yes it includes compilers and linkers that in turn generate new PECOFF objects that in turn link to msys-2.0.dll. This repository exists mostly as build scaffolding (Autotools, bash) to support building native Windows software (as exists in the other two repositories) and that is the real goal of MSYS2. If you want POSIX-y GPLed software on Windows, use Cygwin.
You are right to caution people on the naive usage of our msys2/gcc package, but you've made it sound like something much worse than it is.