While I don't use Windows myself (hopefully someone else can give personal experience), I am curious about the problems that you see on ActiveState? Are you using CPAN.pm or are you using PPM (
http://code.activestate.com/ppm/Mojolicious/)? Can you post some output? I don't know how well CPAN.pm works on AS though I thought it had improved since Strawberry raised the bar.
I don't think very many people (any?) use MinGW directly for their Perl, though maybe I could be wrong.
When I do have to use Windows I use Strawberry, though probably the next time around I will be looking at WSL, assuming it have windows 10. WSL is going to become near mandatory for me to personally consider Windows jobs soon.