I tend not to turn into wind based on the same evidence as IO540. However when it is blowing a gale it is not wise to be sat cross the wind or tail in so on those occassions I do turn in.
A lot if these things are habit teaching on the part of flying Instructors as Beagle points out. Teach a generic habit that will work accross the crop.
The failing is actually on the part of the flying instructor for not explaining the reason why. This is either laziness or a lack of knowledge by the FI.