There are only 6 clothing slots that count towards the Windproof rating. Only the outermost layer of clothing contributes to the player's windproof bonus, which severely limits how much you can stack it.
Even when your gear's warmth rating is higher than the environmental temperature, when its windproof rating is lower than the windchill, you will lose heat. The Windproof bonus provided by clothing protects against the additional heat loss experienced by the player due to windchill.
