I don't know if this is common to all gnuwin32 apps, but I have only grep installed and it won't work forward-slashes. I use grep from vim and since I use cygwin as well, I have the 'shellslash' setting set, this means, all paths are converted to forward slashes, so grep fails to work with them. This is very strange as grep might be using some outdated API's to open files. As far as I know, windows underlying API's can work with both forward and backward slashes (in fact most of the newer MS tools themselves work with both slashes).
I plan to use cygwin at large, but when I need to maximize the performance, I would want to replace specific tools with the native ones such as the ones from gnuwin32, and not accepting forward slashes is a pain (btw., it is not that hard to mix cygwin and native paths, if you choose your mount points carefully)
FWIW I heartily agree... have spent ages today trying to work out why \d didn't work, only to find this post and realise I could have just used [0-9] instead... arrrgh!