This bug was reported in the Cygwin mailing list:
https://cygwin.com/ml/cygwin/2014-05/msg00303.html
In a Cygwin terminal, do the following, where "emacs" denotes the cygw32
build of emacs (--with-w32).
1. $ emacs --daemon -Q
2. $ emacsclient -c
3. `C-x 5 0' in the client window to exit the frame.
4. Repeat steps 2 and 3.
5. Attempt to carry out steps 2 and 3 a third time. The message
"Waiting for Emacs..." appears in the terminal, but no new frame opens.
This problem is specific to the cygw32 build; it does not happen with
the X11 build of emacs on Cygwin. It also doesn't happen if the server
is started via `M-x server-start' in an existing emacs.