It depends on how much wind and the stove design. Yes, it's less efficient, but is this important? You decide . . . I have not generally worried too much about a windscreen in wood burning mode because:
[1] I don't have to carry the wood fuel, so if the heating is less efficient due to wind, I just throw another few twigs on the fire;
[2] I agree with Devon that some stoves (like the Emberlit and the FireFly) have the fire protected in an enclosed firebox until it's 1/2 to 3/4 inches below your pan, so a lot of heat get transferred to your pot even if its a bit windy. This is more true for squat wide pot shapes than for tall skinny pots. So sometimes stove and pot design matters.
[3] I'd prefer not to carry the weight of a windscreen if I don't need it.
[4] If its REALLY windy, I'd prefer not to have a fire at all unless I can find some shelter or windbreak, natural or contrived. I have used terrain features for shelter from the wind, downed trees, big rocks, etc (without moving them) or done my cooking on the downwind side of my tarp or tent, or my pack, or a securely propped up piece of CCF, or even just sitting there myself with my back into the wind. Not really that difficult.
Of course a nice ti or robust aluminum windscreen that can take the heat would work just fine, I'm just saying I don't think most folks will find they really need it.
In contrast to wood burning, when carrying fuel like Esbit or alcohol (when you want to be fuel-efficient so you carry less fuel), a windscreen is one of the keys to heating your pot better with less fuel use. This is why my MultiFuel Kit includes a windscreen. The most efficient example of this IMO is the original Caldera Cone design. The Sidewinder CC is probably not as efficient, though I've done no personal head to head testing of the two Cones. Burn times with the FireFly MultiFuel Kit also seem to indicate very good heat transfer to the pot with windscreen use (which also prevents the wind from cooling the exposed pot surfaces).