As always googling around finally paid off.
To fix that problem find the following file
pear/data/symfony/tasks/sfPakeEnvironment.php
in your installation.
Almost at the end of the file you find this line:
echo pake_sh($cmd);
change it to:
echo pake_sh('start ' . $cmd);
that will fix the problem (hopefully). The next time you run the sync a command prompt window will appear asking for credentials.
And it shuts as soon as it's done. What?! Hang on a minute. I need that command prompt to stay open afterward, so I can check if everything went well or not!
Well you can change that line to
echo pake_sh('start cmd /k ' . $cmd);
that will keep the command prompt window open just for you :-)