DBChopper,
ATCOs tend to think that helicopters can do anything, not realising that low hours helicopter pilots can't do everything. Why land downwind at an airfield, unless you want the practice? It's harder and more dangerous, for all the reasons given. But ATC probably don't know that. I tend to phone up first, and ask if they have special procedures for helicopters. If not, I ask for what I want to do. I prefer not to join the f/w circuit, since R22s are slower than most f/w aircraft, and we slow down before we land. But if you explain in advance, you'll often get what you want, or at least know what's expected.
I learned this the hard way too. Heading for a fly-in to a busy airfield, I could hear that the circuit was crowded, and see where I wanted to land, straight into wind. I asked, and an obviously stressed FISO asked me to join the circuit like everyone else, as they were busy. I finally managed to explain that I was a helicopter, I didn't need a runway, and what I'd asked for would keep me well out of the way. He agreed. So bmuch so, that when I came to leave, he wanted me to depart the same way, now with a 25kt tailwind.
I refused, and explained why. But you see, someone with more experience than I had then might have agreed, so how was he to know?