According to the msys2 project, they have changed the default environment from MINGW64 to UCRT64.
https://www.msys2.org/news/#2022-10-29-changing-the-default-environment-from-mingw64-to-ucrt64

This uses the universal c runtime instead of linking the old msvc runtime.

Advantages of this are:

• Better compat with the msvc toolchain, both at build time and at run time.
• Supports UTF8 by default.
• Has better support for newer C standards, which cfltk depends on.
• The mingw builds will also default to ucrt in future versions, this will make using the fltk-bundled feature for cross compiling to windows break unless built against ucrt.

Disadvantages are that:

• The ucrt is only available on Windows 10 and later.
• Build failure if you link a ucrt-built cfltk in a MINGW64 runtime.
• Unless all distros provided a ucrt by default mingw toolchain, there might be breakages on distros which still use msvcrt when cross-compiling to windows while using the fltk-bundled flag.

Windows does provide a way to install the ucrt on older windows versions, all the way to vista:
https://support.microsoft.com/en-us/topic/update-for-universal-c-runtime-in-windows-c0514201-7fe6-95a3-b0a5-287930f3560c

Blocking issues:

• installing Rust on Windows without Microsoft C++ Build Tools rust-lang/rustup#3358 (comment)
• windows-gnu target compatibility with toolchains providing LLVM tools only rust-lang/rust#72241 (comment)

It seems the rust-mingw component of the rust toolchain is unable to link the ucrt. This is relevant if you're building outside of msys2/ucrt64 environment.

Regardless of this change, building from source should work correctly.