Martin,

Here is the values presented on Python 3.4.0, in fact they are the same as 3.3.2, please note the key difference.
/* #undef HAVE_SIGTIMEDWAIT */
#define HAVE_SIGWAIT 1
#define HAVE_SIGWAITINFO 1
The SIGTIMEDWAIT is undef while the SIGWAIT is defined.
The patch Victor found (https://github.com/Alexpux/MSYS2-packages/blob/master/python3/3.3.2-cygwin-siginfo.patch) to modify sigalmodule.c works on both 3.3.2 and 3.4 (at least the build went through the sign failure.) 
So shall we close this issue?

Petrov,
Thanks a loot!
The patch you offered about parser works with 3.3.2 and 3.4. 
There is further issues with the build on Cygwin and I will raise it in a separate issue.

Br,
Dellair