I had a look at your package and I think that you are missing the Bakoma fonts. Maybe you should include them in /usr/share/lyx/fonts/ and then make sure that they are used through a postinstall script?
JMarc, I have uploaded an updated version of the cygwin packages, with these fonts properly installed. Please put lyx-1.4.3-2.tar.bz2 lyx-1.4.3-2-src.tar.bz2 to where they belong. (I uploaded two versions, please use the .updated one.) SConstruct of trunk and branch is also updated accordingly. Thanks. Bo