So the gcj toolchain seems to be properly compiled under Windows. And I've been able to compile and run a simple hello world.
After some hesitations, I've also compiled and linked simple SWT code, which is my main goal for now. Sadly, this dies when setting up SWT Display. gdb only revealed some arcade parts of stacktraces handling in libjava; nothing I can debug myself for now.
Since I don't know how to handle this, I posted a message to gcc's java list. I've registered to it when I started playing with gcj; those people seem pretty reactive.