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The same is true for the other two windows headers that are following. Should all be lowercase.

sdl2/src/sensor/windows/SDL_windowssensor.c:39:13: error: redefinition of 'CLSID_SensorManager'
   39 | DEFINE_GUID(CLSID_SensorManager, 0x77A1C827, 0xFCD2, 0x4689, 0x89, 0x15, 0x9D, 0x61, 0x3C, 0xC5, 0xFA, 0x3E);
      |             ^~~~~~~~~~~~~~~~~~~
/usr/src/mxe/usr/x86_64-w64-mingw32.static/include/sensorsapi.h:1221:1: note: previous definition of 'CLSID_SensorManager' was here
 1221 | DEFINE_GUID(CLSID_SensorManager, 0x77a1c827, 0xfcd2, 0x4689, 0x89,0x15, 0x9d,0x61,0x3c,0xc5,0xfa,0x3e);
      | ^~~~~~~~~~~
sdl2/src/sensor/windows/SDL_windowssensor.c: In function 'SDL_WINDOWS_SensorInit':
sdl2/src/sensor/windows/SDL_windowssensor.c:354:97: warning: passing argument 5 of 'CoCreateInstance' from incompatible pointer type [-Wincompatible-pointer-types]
  354 |     hr = CoCreateInstance(&CLSID_SensorManager, NULL, CLSCTX_INPROC_SERVER, &IID_SensorManager, &SDL_sensor_manager);
      |                                                                                                 ^~~~~~~~~~~~~~~~~~~
      |                                                                                                 |
      |                                                                                                 ISensorManager ** {aka struct ISensorManager **}
In file included from /usr/src/mxe/usr/x86_64-w64-mingw32.static/include/objbase.h:14,
                 from /usr/src/mxe/usr/x86_64-w64-mingw32.static/include/ole2.h:17,
                 from /usr/src/mxe/usr/x86_64-w64-mingw32.static/include/sensorsapi.h:12,
                 from sdl2/src/sensor/windows/SDL_windowssensor.c:36:
/usr/src/mxe/usr/x86_64-w64-mingw32.static/include/combaseapi.h:256:108: note: expected 'void **' but argument is of type 'ISensorManager **' {aka 'struct ISensorManager **'}
  256 | WINOLEAPI CoCreateInstance (REFCLSID rclsid, LPUNKNOWN pUnkOuter, DWORD dwClsContext, REFIID riid, LPVOID *ppv);
      |                                                                                                    ~~~~~~~~^~~

Built via https://github.com/dockcross/dockcross

docker run --rm dockcross/windows-static-x64:latest > ./dockcross                                                                                             
chmod +x ./dockcross
mv ./dockcross ~/bin

dockcross cmake ....

Most of the issues where already fixed by Ryan, only the lowercase header files are left.

diff --git a/contrib/libs/sdl2/src/sensor/windows/SDL_windowssensor.c b/contrib/libs/sdl2/src/sensor/windows/SDL_windowssensor.c
index f28b63518..efb7e3fcf 100644
--- a/contrib/libs/sdl2/src/sensor/windows/SDL_windowssensor.c
+++ b/contrib/libs/sdl2/src/sensor/windows/SDL_windowssensor.c
@@ -32,9 +32,9 @@
 #include "../../core/windows/SDL_windows.h"
 
 #define COBJMACROS
-#include <InitGuid.h>
-#include <SensorsApi.h>
-#include <Sensors.h>
+#include <initguid.h>
+#include <sensorsapi.h>
+#include <sensors.h>

Fixed, thanks!
https://hg.libsdl.org/SDL/rev/b622185b81ce