Depends on your upbringing. If you enjoy living the Barrio experience then by all means go to Mission for the winter. The Barrio will be greater the further west you go and south of 83 to the Mexican boarder when it comes to the Valley.
Only town that is safe anymore is Neuvo Progresso in Mexico. Many of the bi-lingual locals will not even go there. Mostly because they listen to the Mexican radio, something most winter Texans do not.
Wind, it's windy everywhere in the valley. The concept of more is 20 mph vs 25 mph. After 10-15 mph what is the difference you really can not sit outside with the awning out.
Harlingen is a good choice on your part. Good location to explore from and a certain amount of money in the area that will keep things feeling nice and northerly. Much west of there the Barrio effect occurs.
My advice to you is don't plan a whole winter in the valley. Texas is a big state and one can move around in it very easily and have a great experience. All you need to be aware of is when you need to be someplace. The Valley will be the place to be in Jan/Feb. Just book for a month there, then move back north about 100 miles for a month (Rockport.) Then another 100 miles in April (maybe Hill Country.)
My advice, stay mobile.