I do know some filters don't work to add pixels to the transparent part of the layer, but Wind is not one of them.
However, there's one way to get the effects you want. Wind tends to make the image LIGHTER by adding motion trails, so all you need to do is to make the background DARKER than the foreground and apply Wind to a non-transparent layer.
First, flatten the image (or, Layer>New>Background via Layer turn the layer to the background layer), Invert the image, apply Wind, then Invert the image back.
The best way to do it is to make a white ball against black background, and convert the Wind outcome into a channel, which you may load as selection and then fill the selected area with any color in a new layer.