Namely, libdxguid.a and libdxerr9.a. Whenever a dll that depends on these libraries is being linked together, libtool complains that it can't find real .dll files for these libraries and refuses to create the .dll file (only creates the .a file).
So, there are two ways of fixing that (besides fixing libtool):
1) Go around libtool by passing a library dependency through -Wl (that is, "-Wl,-ldxguid" instead of "-ldxguid"). This way libtool won't make its checks for that library and won't fail. Obviously, that requires some changes to the application build system (in my case that's configure.ac)
2) Satisfy libtool by providing the corresponding .la file. There is no libdxerr9.la file in w32api package, so i had to create libdxerr9.la (attached) and libdxguid.la. While i am not completely sure, i think ideally there should be one such file for each .a file (at least for ones that do not have corresponding .dll file).
Second way seems to be better (it's kinda easier to include some files into the package rather than hunt for dll-less static libraries and plant -Wl in front of each one).