They have a tail fin so the wind would pivot them exactly as shown, blades into the wind is the only stable balance point.

Modern Wind turbines face the wind because a motor turns them that way for maximum efficiency.
Old Fashioned Windmills were fixed to one direction. In real life obviously wind in any given area mostly comes from a certain direction.
If you take a hand Pinwheel and hold it loosely in a strong wind it will turn away from the wind.
So the game seems to take a mixture of these ideas for the game, as a fixed top Windmill would be less Interesting and really wouldn't work well due to the random nature of wind direction in game.

Originally posted by Weaver:

Old Fashioned Windmills were fixed to one direction. In real life obviously wind in any given area mostly comes from a certain direction.

That varies a lot based on size, purpose, terrain and technology. Many big old mills are rotating wooden structures atop fixed stone towers, moved by hand crank or automatically by smaller fantail blades on the rear. The ones in game are simple post mills with tailfins, still used today for irrigation pumps.

look at modern windmills that generate electricity, seems good to me :D