I have msys2/mingw64 but for my Golang cgo I have an alternative install
tdm-x86_64 + fedora mingw64 x86_64 packages
I used msys2 to hand compile pkg-config with these packages.
In this respect I have libvirt available to my golang.
pacman -Ss base-devel mingw-w64-x86_64-toolchain
git clone https://github.com/Alexpux/MINGW-packages.git
cd MINGW-packages/mingw-w64-libvirt
MINGW_INSTALLS=mingw64 makepkg-mingw -s
pacman -U *pkg*xz
.. otherwise you should have an MSYS2 libvirt.
even if it does work, file a bug asking that mingw-w64-libvert gets packaged.
You really should not mix binaries from different ecosystems and compilers. I do not know how TDM configure their compilers or how Fedora configures theirs (exception models, C++ ABIs) but it is a risky business and I caution strongly against it. All your packages should be compiled with the same toolchain.
Why would you use TDM compilers anyway? MSYS2 comes with its own: pacman -S mingw-w64-x86_64-toolchain gets you the 64-bit version.