did you follow these exact instructions? https://enigma-dev.org/docs/Wiki/Install:Windows
I have Embarcadero Delphi installed as well (the 1 year free version) and I do not have any issues running LGM and enigma on Windows (at least when doing 64-bit enigma)... The only problems i have are with Mac and 32-bit Windows right now, and those errors don't have anything in common with the one you pasted regarding Delphi's version of Make.
I see you have ENIGMA installed under C:\msys64\enigma\ in my case it's in the Documents folder. But that shouldn't make a difference.