Yes, this is obviously a 32 bit executable trying to load a 64 bit dll (and failing).
There is no 64 bit support on the native launcher yet as scons (our build tool) and mingw gcc are both in progress in their 64 bit support.
It is possible to compile a 64-bit native launcher binary if Visual Studio 2008 is installed. Run the scons build, copy paste the output parts that show the commands that were run, make it into a .bat file and run that in Visual Studio Tools -> Visual Studio x64 Cross Tools Command Prompt (from the Visual Studio program group in All Programs).
I did that a while back when this was discussed on the groovy mailing list, but then there was nobody who would have tried out the produced binary so I don't know for sure whether it really worked. :/
So, on 64 bit windows you have to either use 32 bit jvm or use groovy.bat to launch your scripts. Or try rolling your own native launcher binary as described above.