The 'msys2' software repository (as opposed to the 'mingw32' and 'mingw64' ones) contains things that link to msys-2.0.dll which is GPL, and yes it includes compilers and linkers that in turn generate new PECOFF objects that in turn link to msys-2.0.dll. This repository exists mostly as build scaffolding (Autotools, bash) to support building native Windows software (as exists in the other two repositories) and that is the real goal of MSYS2. If you want POSIX-y GPLed software on Windows, use Cygwin.
You are right to caution people on the naive usage of our msys2/gcc package, but you've made it sound like something much worse than it is.
You can explicitly include it if you need the POSIX compatibility parts missing from Windows, but most software doesn't.