Yeah it's not such a mind-blower if you are experienced in using Linux, where this is just common, but it's still really nice to not miss this when working on Windows.
However in the current version of MSYS2 (after an update a few months ago) they suddenly seem to mix the different linux-like distributions and for me it's really hard to choose which shell to use and which package to install for that shell.
Yeah I should clarify, the fact that msys had built in package management was just the most pleasant surprise ever. I use windows when I have to, not by choice. :)
No it's a completely open source, built from source (using gcc) software distribution for Windows. It uses pacman to install packages and comes with many hundreds of prebuilt ones.