I found I needed to use the git version of hxcpp in order to cross-compile on Linux for the windows target.
@konung, to install the git version:
haxelib git hxcpp https://github.com/HaxeFoundation/hxcpp.git
You can also switch between git and release versions using haxelib set (assuming you have both installed):
For example, to set to git:
haxelib set hxcpp git
To set it to the 4.3.2 release:
haxelib set hxcpp 4.3.2
