The signature for setup-x86_64can be used to verify the validity of this binary using this public key.
Additionally, Windows does not easily allow overwriting of in-use executables so installing a new version of the Cygwin DLL while a package manager is using the DLL is problematic. This will install an enormous number of packages that you will never use, including debuginfo and source for every package.
If you really must do this, clicking on the "Default" label next to the "All" category to change it to "Install" will mark every Cygwin package for installation.
Be advised that this will download and install tens of gigabytes of files to your computer.
A: See the setup project page for more information.
Is it something that offers bloatware and tries to get you to download them?