Currently, msvccompiler.py defines NDEBUG for non-debug builds.  Unix
builds do as well, via python-config.  However, cygwinccompiler.py does not.

Posix build system read flags from makefile.
Configure script add -DNDEBUG to OPT flag. So why cygwinccompiler.py has
to set this ?
Next cygwinccompiler currently is not used in python build system.

Sorry, I should have said the mingw32 compiler, which is contained in
cygwincompiler.py  The mingw32 compiler is a free compiler compatible
with MSVC.  Since it's used with the Windows version of python, there is
no configure script.

I noticed this when trying to build an extension module with "python
setup.py build -c mingw32", using the Windows (not cygwin) version of
python.  The extension module failed to compile because had a line like
this:
  assert(my_struct->debug_only_field);

where "debug_only_field" is only declared if Py_DEBUG is set.  When
NDEBUG is set, the assert disappears and the compile works as expected.

Ok Daniel.
In this case for debug build _DEBUG has to be defined too - please check
pyconfig.h from MSVC builds.
May be you could use CFLAGS environment variable.