Prevailing wind direction and strength aren't constant. I trust them as much as riverboat gamblers.
But I do design for the typical winds during the course's main golf season. The laws of physics affect ball flight and roll, so allowing for these in design makes sense. Otherwise, shots may be unplayable.
Most good players prefer the comfort of all "road signs," aligning, like the lie, wind and target all pointing one way to promote a certain favored shot. Imagine how tentative you would feel seeing consecutive road signs reading: "Chicago, next left" and "Chicago, this right"?
But, since there is no guaranteed wind, I never set up more than about 2/3 of the holes where targets all aligned with the normal prevailing wind, since off wind days would be too tough. Also, both "riding" and "canceling" wind are appropriate challenges. And, its usually topographically impossible, but I try more when typical winds are higher velocity.
Accounting for wind also generally means enlarging targets on windier sites, as Tom D notes. The Scots did, and their courses are fairly easy on the rare calm day. However, desiging a course for the hardest wind in a more moderate situation may very well lead to a course that is generally too easy and not as much fun.
Where we think wind is more predictable, it also means specific types of target enlargements. I allow more depth on downwind shots that spin less, curve less and roll further. Headwind shots spin more, so the shot pattern accentuates playing into the wind – i.e. more curve and stop, meaning no more depth but a little more width. I rarely move bunkers further from the green on all sides to enlarge the target zone, but I may provide bigger bail out areas on one side.
BTW, it is not your imagination that wind hurts your distance more than it helps you. Studies show that a tailwind may add a few yards to a shot, but headwinds are likely to take away almost 20 yards! Lastly, tree cover - like the big pines at Augusta - does cause wind to swirl and eddy making it hard for golfers to figure. I doubt there is much planning in the gca head about that, as its all in the golfers head.