My version of Cygwin uses 5.14 -- which is not the latest but hardly ancient and way newer than 5.8.8
I am indeed using 'cpan' (under cygwin) to do the install. DateTime installed without any issues. The only problem was with DateTime:TimeZone. Both DateTime and DateTime::TimeZone *seem* to be working OK but I am not really stressing DateTime::TimeZone in that I am only really using it to read & set the TimeZone by name.
The reason I asked this question is that DateTime::TimeZone is a pretty standard module so I was surprised that googling didn't surface this issue (then again perhaps it's not included as a Cygwin package for a reason :)
Thanks again for your very detailed and helpful comments. For now, in the absence of any other insight and given the fact that it seems to work well enough in my own simple cases, I will just assume it "works" good enough.
Re^2: unknown pod directive 'encoding' in paragraph NN