I love playing in, over, and around the dunes. Ballybunion, St. Enodoc, Royal Birkdale and Royal St. George's are some of my favorite courses.
On the other hand, I also love Pennard, The Old course, and Royal North Devon that do not have large dunes.
I don't think the wind is different playing your shots in the dunes than on flatter pieces of property. On your body it may be less windy behind a large dune , however.