My discovery of the wonders of open-source java compilers continues, as I dig deeper in gcj mailing lists archives...
So ecj does not compile to native code... I'll stick to gcj then.
Actually, I packed together rmathew's instructions in a shell script and after some fiddling, I've successfully built my first Windows gcj compiler yersterday!
It's a priviledged moment: as I didn't have time to read the compilation logs and test the resulting binaries, I am not aware for now of any problem that may have happened :-)