Since we're using CMake, it's not a problem for us (Ogitor).
CMake and Qt is good company.
Because KDE uses CMake. So good integration.
It handles all the messy details behind the scenes.
So just get the precompiled libs, don't worry about the SDK - I am not sure what the difference is either.

If you want Qt Creator - get it. Doesn't matter if it's built with MinGW.
Just make sure to download the debugging tools from Microsoft (as described on the Qt Creator Qt selector program options page).
Rebuild the debugging helper, and off you go.