Because Msys2 sucks,
as mentioned above, I need to change its default server mirrors to point to Arch Linux Mingw-w64 AUR ones, and make it as the default one.
So when I issue some pacman -S mingw-w64-* it will download the package from Arch Linux Repository and not Msys2.
I need to use Msys2 only as a shell.
Msys2 Minwg-32/64 builds use Dwarf instead of SJLJ as exception model, and this is a very bad choice, because they don't catch exceptions from other DLLs that are built with other tool-chains, and the application will crash (For example Firebird 2).
Arch Linux is smart, and has chosen to use SJLJ as exception model for its Minwg-32/64 builds.