Hi --
These were very useful, but seemingly incomplete. After some frustration followed by googling, we found the right answers here:
Basically before you run /usr/sbin/cygserver, you need to:
a) set CYGWIN = server environment variable
b) run cygserver-config
and then continue your instructions with 3a) on the above referenced FAQ page.
Thanks for this wonderful tool, and making it work with CYGWIN. Its presence has been extremely useful for our development efforts.
-Mike