It appears that the above file is not part of the standard gcc/g++ package under cygwin.
$ g++ --version
g++ (GCC) 3.4.4 (cygming special, gdc 0.12, using dmd 0.125)
The error log is attached.
Cygwin debug static build error log
Logged In: YES
Localcharset.h header is part of the libiconv package. Investigation to be undertaken as to whether this header can be rid of.
The "libiconv" package has been documented as a mandatory dependency.