Shortly after getting my PPL I flew into a small airfield down south. The R/T gave the wind direction as from the south and the runway in use 32.
I thought this was a bit odd, decided I'd rather go with the wind direction and stated I'd be making my approach from the north. To which the guy said "no problem" and the approach and landing went safely, into wind, on 14.
Once on the ground it was obvious that 32 had a very noticeable upslope. With a light tailwind I guess this was still the best choice for fixed wings - but as we all know, helicopters fly differently than aeroplanes.
In this case, the guy was happy for me to choose the approach I wanted - so don't be afraid to ask for the approach you want rather than the one you are given.