With most SE trainers, I've always taught to face into wind for runups if the wind is >10 kts. Doesn't really seem to matter below that, but there can be quite a noticeable difference in throttle position when you set your 1800 RPM in a strong head or tail wind.
I've flown various microlights and taildraggers that can be a real handful to control if you go putting large applications of power on with cross- or tail wind, whether you're running up or taxiing.