Hi, sorry I didn't see your question earlier. Actually @JulianOes kindly informed me about your post.
I recently completely refurbished the page in the Devguide about developing for the autopilot on Windows. The link you posted will bring you to the new page now.
I'm supporting PX4 development on Windows because I'm most productive on that OS myself. The "PX4 Toolchain Installer v14 for Windows Download" is the one for the very old Msys Toolchain which was broken and deprecated for a long time anyways, never supported autopilot simulation or DronecodeSDK (previously Dronecore).
If you want to test your developed app together with the autopilot on your computer I recommend the new Cygwin based Toolchain https://dev.px4.io/en/setup/dev_env_windows_cygwin.html which I use for my daily autopilot work and created an easy to use setup for. I ocasionally did some work on the core DronecodeSDK https://github.com/Dronecode/DronecodeSDK and it builds on the same toolchain with the following small zlib fix: https://github.com/madler/zlib/pull/367 which sadly did not get accepted (stale repo) until now. But you can just checkout my suggested branch in the zlib submodule and it will be fully functional.
For DronecodeSDK only development you can also use Visual Studio, see https://sdk.dronecode.org/en/contributing/build.html for more information about that.