Looks like you did not install SSH package while installing Cygwin. Please do the followings and hopefully your problem will be fixed.
1. Download the latest Cygwin from https://www.cygwin.com/
2. Run the downloaded installation file and once you reach the below screen where it says "select packages", type "ssh" in the seach box. It will show you the list of SSH packages.
3. Select "openssh" binary from the above list of packages to install it. Once you install this package, you should not get the error.
You may need to re-install other packages you installed previously. I have not tested it.