I've installed SSHD on many many Windoze machines, but this time round I came across a problem starting:
cygrunsrv --start sshd (after ssh-host-config) and
cygrunsrv -I cron -p /usr/sbin/cron -a -D
Anyway, after completely removing and reinstalling Cygwin (double-check that it's installed for "All Users" and not "Just for me"), it seems to run fine. I don't normally do a brute force reinstallation on my Linux boxes, but it seems to be the magic solution in Windoze.