There are similar issues with other libraries as well; such as openssl and some other plugins. Binaries are installed in different directory structures than self-builds and self-compiled build methods can create different library names. These slight adjustments are unfortunately usually necessary. Though, you are right in that linking with mingw or on linux, you do not specify the lib name with extension -> pq.lib, but rather you specify lib[libname] -> libpq.
Well, I am thinking that maybe, in fact, we could ship some of them with Win32 release (AFAIK, both pg or ssl are BSD).