I use msys and Cygwin both on a weekly basis. They're both perfectly usable if all you want is an interactive terminal, but for automated use or scripting they're slow, bloated and a pain in the arse to work around.
You are correct, however, that distributed VCS has some advantages over server-based ones in certain situations, though I wouldn't consider the benefits worth trading in native platform support for. Some distributed VCS with native cross platform support include Bazaar, Mercurial, darcs (though there are no "official" windows binaries), and SVK (based off of Subversion).
Ehtyar.