Você precisa iniciar o startxwin com a opção -listen
.
Por exemplo, meu atalho é:
C:\cygwin64\bin\run.exe --quote /usr/bin/bash.exe -l -c "cd; exec /usr/bin/startxwin -- -listen tcp"
'-nolisten tcp' is now the default, so the server only accepts local connections on a unix domain socket. A '-listen' option has been added which can be used to restore the previous behaviour.