Recently I ran across a MS-DOS style path warning when trying to run Scala for the first time in cygwin.
It looks like it's working, Here is the text of the warning.
MS-DOS style path detected: C:\Program Files\Java\jdk1.6.0_25/bin/java
Preferred POSIX equivalent is: /cygdrive/c/Program Files/Java/jdk1.6.0_25/bin/java
CYGWIN environment variable option "nodosfilewarning" turns off this warning.
Consult the user's guide for more details about POSIX paths:
Looking around I found this site http://stackoverflow.com/questions/11972562/how-can-i-get-cygwin-to-accurately-read-my-windows-environment-variables 
Which suggest using the cygwin utility took cygpath.
In my case I have defined JAVA_HOME in my System Properties
Cygwin is using this path
If I run the following command
> echo $JAVA_HOME
It returns the MS-DOS style path.
You can use the cygpath command to convert paths from MS-DOS style to unix style.
If you run this command you will see how it works.
> cygpath $JAVA_HOME
You can see how it converts the path.
One way to permanently fix this is to edit the .bash_profile.
Open the .bash_profile
> vi .bash_profile
And add the following to the bottom.
export JAVA_HOME=$( cygpath "JAVA_HOME" )
Opening a new Cygwin window and running scala -version results in
 How can I get Cygwin to accurately read my Windows environment variables?