Description
In mamedev.org/tools/ there is the following line of guidance:
To open a non-posix shell there is the batch file win32env.bat for regular windows console.
As far as I understand, this is the intended way to launch any shell for mame development - and the two other obvious mechanisms to launch posix shells (launching msys2_shell.cmd or msys2.exe) are incorrect or require additional undocumented steps to configure the environment correctly for building. The correct way is apparently to run win32env.bat to get a shell with the correct environment, then run bash from there.
A more prescriptive form of the text could be:
To open a shell with the proper environment for building MAME, launch win32env.bat, and run bash
I'm not confident this is the intended procedure though, maybe someone knows better.