You may have figured it out already, but I found this thread through search results, so answering for others who do the same in the future.
CxxStdlib is the Swift module containing the declarations imported from the C++ standard library – stuff in the std namespace.
Cxx is a Swift stdlib module containing things that are useful for C++ interop. For example CxxSpan<T> and CxxMutableSpan<T> are protocols that are implemented by std::span<const T> and std::span<T>, respectively. They contain initializers that make it easy to convert to std::span from Unsafe[Mutable]BufferPointer and [Mutable]Span.
WinSDK is the Windows SDK module, similar to importing Darwin on macOS etc. Along with the CRT module it provides platform specific things on Windows. In Swift code that needs to interact with the system through C APIs you’ll often see something like: