1) ABI compatibility is not present. With clang-cl you can compile half of your object files with MSVC and half with clang-cl, and link them together. That's very powerful. You might be thinking "but who is really gonna do that anyway?" However, there is more to the ABI than just this. For example, consider what happens if you need to use Structured Exception Handling. Well, with GCC, you can't.
2) Debug Information. GCC does not emit PDBs, it emits DWARF. This means you cannot use Visual Studio to debug, you cannot use vTune or WPA to profile, you cannot use symbol / source servers.
3) There are licensing implications, GPL != BSD and it's easier to use BSD.
These are the main reasons. There are other reasons though, such as if the entire goal is to get down to 1 toolchain and that toolchain is X, then why would you waste your time converting Y to Z?
At one point, after updating the toolchain from gcc 4.x to 7.x and from mingw32 to mingw-w64, it started to produce broken binaries.
The manifestation of that brokenness was that binaries refused to start properly on systems where the toolchain was not installed. It just silently exited during startup - no crash, or error message, or anything.
This applied both to binaries that were cross-built on linux, and binaries built using MSYS2 on Windows.
I decided to just switch to clang-cl + MSVC headers instead, which worked properly. The only gotcha there was the need to store the headers on a case insensitive file system (I chose vfat) when compiling on linux, because the case of the includes aren't consistent (e.g. Windows.h vs. windows.h), even in the MSVC headers themselves.
were you missing compiler runtime libraries? like any code compiled with gcc anywhere that links the runtimes as shared libraries, they'll need to be present for executables to run. depending which variant of mingw-w64 you used, there are more runtime library dependencies than there used to be, like winpthreads for c++11 thread support.
Edit Mingw-w64 its quite nice and includes gcc without all stuff cgwin does.