I do believe that everything is installed properly but when I try to connect Mission Planner to X-Plane I get this message" No heartbeat packets received" and here is what I see.
Why do You note sitl native page from the dev wiki, and You run SITL from Mission Planner?
If You already installed cygwin and all packets I suggest You to run it with waf build in cygwin, instructions here. You can also check if You have correct setting of Xplane.