Currently my advice to them is ditch VS Code and download GoLand, the editor change is jarring but the experience is much more fluid on Windows overall. Also transparent support for modules, per project.
For compiling when your code (or a package you're using, e.g. sqlite) has a cgo dependency - afaik YES you will need to go down the dark road of cygwin/Mingw, if you want your development cycle to be at all normal... and even then, my observation is compilation times are an order of magnitude slower on Windows :(
At GopherCon I met folks who worked for huge, "old guard" Windows companies who said "just run a linux VM" to develop in Go.
If you just need to compile for windows once and a while (e.g. for releases only, not as part of your normal dev cycle), check out xgo [1], which uses docker to deal with all the cgo mess. No cygwin/Mingw to install/worry about.
Best of luck! If anyone else has tips for working in Windows, I'd also love to hear them.