values.h is an old UNIX standard file it was documented in issues 1 and 2 of the X/Open Portability Guide. float.h was standardized in ANSI C in 1989 and had become widely used before then. values.h was withdrawn from the standard in issue 3 of the XPG in 1989, and never made it into POSIX at all.
In short, values.h has been obsolete for many years - any code which wants to be portable should be changed to use the float.h identifiers instead. If anyone wanted to do it, I can't imagine any harm in adding a values.h to the cygwin distribution which #defines the values.h identifiers to their float.h equivalents, but it would be better if the software which uses values.h were changed to not do so.