Yeah, bmax should come with the necessary mingw stuff int he bin dir imho.
Yuk. World of pain there. BR would have to distribute different binaries on different systems, tackle all the legal issues and make sure that users kept on top of bug fixess and security holes.
The documentation could be improved about how to install the compilers, but it pretty much boils down to this:
* Got a Mac, install XCode
* Got Linux, install your distribution's gcc & bintools packages
* Got Windows, download and install MingW32 or Cygwin.
Nothing too taxing there.