This approach is higher performance, officially supported by Microsoft and comes with all Ultimate Vista/7 installations. Cygwin runs as a user-mode app that emulates the POSIX environment using the underlying Windows APIs. SUA is an integrated subsystem that is on the same level in the kernel stack as the Windows subsystem (that's being used by every Windows app out there). By being so close to the kernel, SUA is able to use undocumented APIs within the kernel to achieve greater performance than Cygwin.

As far as I'm aware, Interix (SUA) uses no undocumented interfaces. The kernel subsystem interfaces are actually quite nicely documented; I was working on a Darwin subsystem for a while, using SUA as a nice reference ("along with Windows Internals"), and it's really quite nice.