It's actually vice versa... Linking A (what you call "statically", i.e. linking against static import library corresponding to DLL B) against a DLL B means that you add automatic explicit dynamic runtime dependency of A to B. The code of DLL B is not compiled into A, only a small code snippet that "A, as soon as it starts, should automatically search and load its dependency B, and if not present, then throw error" is automatically injected by compiler into A. I emphasize, this is what is called "to link against DLL/shared library".
-- "To dynamically load/link DLL/shared library" is when you manually make a system in call in the code of A to load B, and you yourself control when and why you do it. This way, there is not automatic explicit runtime dependency of A to B, and therefore it is not strictly required to distribute B with A. My Vim distributions use this 2nd approach, and that's why "And no, I didn't link against shared libraries because that makes no sense." implies exactly that.
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