Following the suggestion of @liberforce, I am running Mingw-w64 64bit shell. I got less warnings than with msys2 shell. Here are the warnings I got.
warning: could not get file information for clang32/
warning: could not get file information for clang32/bin/
warning: could not get file information for clang32/etc/
warning: could not get file information for clang32/etc/config.site
warning: could not get file information for clang32/include/
warning: could not get file information for clang32/lib/
warning: could not get file information for clang32/share/
warning: could not get file information for clang64/
warning: could not get file information for clang64/bin/
warning: could not get file information for clang64/etc/
warning: could not get file information for clang64/etc/config.site
warning: could not get file information for clang64/include/
warning: could not get file information for clang64/lib/
warning: could not get file information for clang64/share/
warning: could not get file information for opt/
warning given when extracting /usr/bin/cygpath.exe (Can't create '/usr/bin/cygpath.exe')
warning given when extracting /usr/bin/cygwin-console-helper.exe (Can't create '/usr/bin/cygwin-console-helper.exe')
warning given when extracting /usr/bin/locale.exe (Can't create '/usr/bin/locale.exe')
warning given when extracting /usr/bin/tzset.exe (Can't create '/usr/bin/tzset.exe')
warning: terminate MSYS2 without returning to shell and check for updates again
warning: for example close your terminal window instead of calling exit
Normally when I follow the last instruction, when I run the shell again, it just opens the terminal window, quickly shows an error, I can't read quick enough, and quickly closes. So, I reinstall, and don't use pacman -Syu, to update, but install each module with pacman -S.
However, at this point, I want to know, will the above warnings prove problematic going forward?