I was surprised to find that the version of Vim which ships with Git for Windows does not load my vimfiles/vimrc. This post has the explanation and an easy workaround.
Default vimrc Locations
By default, Vim loads personal initializations from $HOME/_vimrc,
$HOME/vimfiles/vimrc, or
$VIM/_vimrc whichever is found
first.  The version of Vim which ships with Git for Windows instead loads
personal initializations from $HOME/.vimrc or $HOME/.vim/vimrc.
Presumably this was done to match Vim’s default behavior on Unix (see
git-for-windows/git#658
(comment)).
The difference can be observed by comparing
:version from Vim installed
system-wide:
     user vimrc file: "$HOME\_vimrc"
 2nd user vimrc file: "$HOME\vimfiles\vimrc"
 3rd user vimrc file: "$VIM\_vimrc"
to :version from Vim in Git Bash:
     user vimrc file: "$HOME/.vimrc"
 2nd user vimrc file: "~/.vim/vimrc"
Sharing vimrc
One way to use the same vimfiles in both versions of Vim (with minimal
confusion or clutter) is to create a $HOME/.vimrc file with the following
content:
" Git for Windows Vim user initialization file
" GFW uses ~/.vimrc and ~/.vim/vimrc instead of ~/_vimrc and ~/vimfiles/vimrc
" See https://github.com/git-for-windows/git/issues/658#issuecomment-184269470
" This file configures GFW Vim to behave like Windows Vim
let &runtimepath = '~/vimfiles,'
\ . join(filter(split(&runtimepath, ','), 'v:val !~? "/\\.vim"'), ',')
\ . ',~/vimfiles/after'
let &packpath = &runtimepath
source ~/vimfiles/vimrc
This replaces ~/.vim with ~/vimfiles in
'runtimepath' and
'packpath', then
loads ~/vimfiles/vimrc.  Once this file is saved, both versions of Vim will
use the same paths for user configuration and runtime files.





