This works now (was fixed with Parrot 6.10.0; cmp. https://github.com/parrot/parrot/blob/master/ChangeLog#L30):
cygwin> perl6-p t/spec/S19-command-line/dash-e.t 1..4 ok 1 - -e print $something works ok 2 - -e print $something works with non-ASCII string literals ok 3 - -e works with non-ASCII program ok 4 - -e works correctly as a stopper c<gwin> echo $LANG en_US.UTF-8