https://github.com/simonzack/urxvt-tabbed - is this the project you're using?
rxvt-unicode-256color
I use it on cygwin at work because I use it on linux at home, because of the tabs (which are text-based and have nothing to do with whatever desktop environment it's running in), and because the 256 colors make it easier for me to distinguish different code parts in a colored text editing session.
The default terminal in cygwin is OK, but the small number of colors were really bothering me (old eyes).
As for unicode, I've displayed Japanese and other scripts in rxvt-unicode-256color just fine.
The right terminal has two tabs open, and it shows unicode displayed in the last command.
This is on linux, it looks the same on cygwin (except it has window borders there).
I use conemu for my windows command shell. I have tried it to run a cygwin bash shell, but I recall there being some annoyances, don't remember what anymore.
But fundamentally, no, it wouldn't be better to run ConEmu and mintty, because urxvt is exactly what I like. :)
As for running mintty in conemu, it's still not quite right. If I figure it out, this will be what I recommend to people.
But for me, I like having urxvt the same at home on linux and at work in cygwin. I use urxvt's keyboard management of its tabs a lot.