If not, they should (IMHO). Any compiler that provides windows.h & friends and proporting to act like a win32 compiler (i.e. accepting win32 code and so on) should be defining WIN32. Testing #ifdef WIN32 is the easiest way to say "if we are building on windows do x, if not do y" And, for all practical purposes (from the perspective of source code anyway), building on winelib should be the same as building on windows (isnt that the point of winelib)
MingW, Visual C++ and Cygwin with -mno-cygwin (which is basicly MingW) all define WIN32. And I would assume that Watcom, Borland and others probobly do as well although I dont have those to check.