Tim,
default port and protocol for ssh connections is 22 TCP, not UDP.
I recommend you to use a general cygwin installation, not only a package "cygwin-rsyncd for windows". I usually install cygwin on windows servers, and install packages like openssh, and rsyncd for rsync transmissions, or create scripts on bash for other backups tasks (database exports,.. etc). When you install cygwin, there are logs on /var/log that could give you more information for errors.
You could try connect from backup server, with ssh options like -vvv for more detailed log.
Think about change installation "cygwin-rsyncd" by a fresh and complete installation of cygwin environment.