I am using vimdiff for the first time. Online I found written that to move from the left pane you use CTRL + w + Left or right arrow
This does not work for me. But I see that if I press just CTRL + w and press w for a sec and let it go, it switches pane after ~500ms.
Is this how it is supposed to work? Am I doing something wrong?
Ctrl+w and right and left arrow can be used to move between any split windows on vim, not only vimdiff splits.
These keys do work here on cygwin; also, Ctrl+w w also moves to the next window, but without the delay you mentioned.
It is possible that you have mapped these keys in your .vimrc or via some vim plugin. You can check this with :map w, :map <left> and :map <right>.
As moving between windows is something that you use often, you may consider using the following mappings:
nnoremap <C-J> <C-W>j
nnoremap <C-K> <C-W>k
nnoremap <C-H> <C-W>h
nnoremap <C-L> <C-W>l
Then you can use Ctrl+h and Ctrl+l to move left and right, without moving your hands from the home row. And the nnoremap will ensure that these works despite of any other mappings that you may have.