The GNU tools are not fully compatible with the Windows ABI and they don't support some important Windows features. There are great reasons to use the GNU tools, like compiling unix programs that do not otherwise target Windows.

But you are swimming upstream if you use the GNU tools for general Windows development. Windows is a complex, integrated system that has evolved over a long period of time and is very different from unix-like operating systems. The peculiarities that exist in MSVC and associated tools are not just the whimsies of Microsoft devdiv engineers and product managers, but often tie in to operating system functionality. If you try to develop Windows applications with mingw, you will eventually hit weird problems and errors that simply would not exist if you used Microsoft's toolchain.

If you want an alternative to Microsoft's compiler, then consider llvm, which is aiming for full ABI compatibility and even produces PDBs (though I'm skeptical that they're as complete as the ones generated by Microsoft's tools). But the compatibility is incomplete, so ymmv.