After upgrading my Cygwin installation to a version around February 2015 (1.7.34(0.285/5/3) 2015-02-04 12:14 x86_64 Cygwin
), I suddenly ran into the UNPROTECTED PRIVATE KEY FILE
warning.
I fixed this problem after running the following command:
setfacl -s u::rw-,g::---,o:--- ~/.ssh/id_rsa
(another answer to another question gives more context)