Before you do this, I have a question. Why is this important now when you've
apparently been doing this for many years? This isn't the only package which
makes symlinks to executables. And, since, AFAIK, setup.exe doesn't understand
hard links it means that you really do have to make a copy. If you make a copy
you stand the chance of having python.exe out of sync with the thing that it is
supposed to be pointing to.
If it was a general Cygwin policy to always make copies, I could see changing
Python. But, again, since it isn't, I don't see why python should be unique.