After a whole day of experimenting, I managed to get this working in Windows. Don't know if this is still helpful to you but here's the tweaks I had to make to piottros' steps above (also I precompiled the libs using --app-abi armeabi:x86 to support both arm and x86):
Make sure you use a relative path to the libcocos2dx directory in settings.gradle e.g.
colon : characters such as in C:\ break the NDK_MODULE_PATH parameter on Windows, so you need to change them for semicolons ; if you're using an absolute path for the "cocospath" string. Those lines in my build.gradle file look like this:
cocospath = "C:/users/dev/code/frameworks/cocos2d-x-3.14.1"
It looks as though the cocos2d-x dev team are already fixing this path issue for the next release though
Thanks to @piotrros for posting the steps!