Many thanks for your replies. I was not talking about the power check on take-off, but the engine run-up which is completed prior to the Pre Take-off check.
I cannot believe that a 10 knot wind makes any difference to the cooling, compared to the gale from a rotating prop. I feel that the real reason is probably because it has always been done that way, so it must be correct.
My question was prompted by watching aircraft at my local airfield executing tight turns in a restricted area, churning up the mud, so as to face into wind, whereas a turn through 90 degrees would have saved the grass and avoided any blast problems for aircraft behind.