Cygwin "Setup" is a bit unusual, so it is easy to miss its peculiarity
the first time.

The "View" button allow to change between different way to view the available packages. I suggest "Full"

Use only "tesseract" in the filter, not more or you will loose the available packages. Current packages are 3.04

To select any additional package click on "Skip" on the relative row.

"tesseract-training-util" contains the training programs
"tesseract-training-core" contains the training data in