@FvD, finally, I found the reason.
The command of Cygwin or WinGW are all right. The problem come from Python(surprising, Uhun?)!!
Python2x or Python3x are all should be installed as 32-bit version .
Because my computer system is 64bit, so I download python2/3 as x86_64, that caused vim cannot load python lib dynamicly.
I don't know exactly what's wrong with the python version. I assume it's because my Gvim/Vim are all 32bit.