Now the only way to put up a wind shelter is via a guardian power that spawns one of these new kinds of missions, (..)
Don't yet know whether it's actually doing it, but in my newly-created world after updating, I have some assassination missions that list building a wind shelter amongst the rewards. I'll test it shortly and edit with the results.
EDIT: same world, I have some gaps in basement type rooms which are only one block high, and have to be jumped to get through. Can't get beyond them without Shrink/Bat - can't recall whether this was supposed to be intentional or not.
MORE EDIT: Completed one of the assassination missions, and it did not build a wind shelter. So it's just a display thing, perhaps.