A word of warning, be very, very careful when changing permissions of anything that Cygwin uses, in fact don't even think about doing it because more likely than not you will break it.
I came across this problem today when I changed the ownership on a Cygwin directory from SYSTEM to Administrators.
This broke SSH and the service would not start, it fails with the message "The service did not start or respond in a timely manner" or some nonsense like that.
The way to fix this is as follows
1. delete the file /var/log/sshd.log
2. open a bash shell and cd to /var
3. chown SYSTEM.none empty
4. chmod 0600 empty
5. cd to /etc and do
6. chown SYSTEM.none ssh*key
7. chmod 0600 ssh*key
you should now be able to start the SSH Daemon by either net start sshd or cygrunsrv -S sshd or starting it through services.msc