As Sean suggests, on a site with big dunes you are often forced to build holes parallel with the lines of the dunes, which form along the line of the prevailing wind ... so you get lots of holes running into the wind and downwind, not so much crosswind.
I think that's actually a blessing, as it gives you a bit more chance to control the ball. I know that in theory, it would be great to have holes running in every direction ... but in PRACTICE, on a very windy site, it's not so much fun to play crosswind more than once or twice. I think that's the reason a fair number of people favor Barnbougle over Lost Farm. Playing in a 30-MPH crosswind is hard for anybody, and darn near impossible for the average golfer.