It's been a while now, so I don't recall the exact specifics; however, I didn't need to do anything special.
The "Cygwin XLaunch" (and other X Server applications) were installed as part of the initial Cygwin setup;
I did not need to specify anything in particular for X.
There were no additional installation requirements that I needed to perform on the Win10 side; e.g.
no extra downloads of libraries, no x_for_cygwin.msi (or similar) to run, etc.
Please note that I'm not trying to fiercely promote Cygwin;
I just wanted to put your mind at ease if you do choose it.
It does everything I need in both the professional and personal arenas.
My preferences and requirements may not align with yours.
Another thing that could make a difference is the OS and hardware.
I've specified Win10 throughout (it's 64-bit).
Briefly, my basic hardware is: 6 core/12 logical 3.2GHz CPUs; 32GB RAM; RTX 2080 Ti GPU; 2 x 2TB SSDs.
All my comments are based on this setup; depending on what you have available, YMMV.