If you use standard mingw its missing some of the directx headers you can get the missing ones at the allegro game library site,
but tbh i wonder a bit why they newer fixed it ?.
Mingw64 has a pretty complete directx sdk (upto and including directx11) while mingw only has directx9 and its missing bits and pieces.
Cmd or bash shell is upto preference i think, i like making most work in bash because of its scripting support

makes it a ton easier to automate some of the heavier stuff.
Ofc if your into powershell that might be just as good.
Productivity is a state of mind.