The ssh part works properly and Jenkins succeeds on copying the slave.jar file and executes it but it seems that it does make some wrong assumptions about paths, giving the error below:
The windows path is correct, being created by Jenkins, but it seems that he execution of /bin/bash is the one that fails. If one does manually performs ssh to the machine, using the same credentials, they would be able to run /bin/bash.
I believe that the problem is because Jenkins is assuming that being a Windows machine it has to provide a Windows path to the CreateProcess which probably expects a Unix path instead because the entire shell is run under cygwin.
Still, I tried any combinations of configuring the slave path on the node configuration but none seems to work.