I'm not sure why you feel like that, I switched back to Windows after ~1 year of using OSX, I wouldn't say its "miserable" there is really nothing I could do in OSX's command line that can't do in windows.
Powershell is very powerful and for windows it beats cygwin/mingw. Not quite sure how it measure against Linux shells running on Linux, but Microsoft has really made a proper shell for windows, too bad it looks so different.
Obviously if you work in a cross-platform environment, cygwin/mingw is still the only thing that will provide you some sort of consistency in your workflow on Windows machines.
I don't get agree with your parent, but I used cygwin when I was on Windows and it mostly does what you want if you just need basic command line tools.
The major annoyances were packages were limited, compiling anything was generally a disaster and file permissions between linux/windows are a mess. I happily used it everyday though.
I feel like you can't have really scratched the surface on what you can do in a real Unix shell. I doubt that Windows has support for things I use all the time (like command substitution <(some command) where the output of a command appears to be a file to a program).
Of course it's going to be miserable to use any command-line tool on Windows. It's Windows.