A wind farm will essentially take energy (heat) from one area (where it is collected) and transport that energy (heat) to another area maybe hundreds or thousands of miles away.
Of course it changes local climate...
Question: what happens when millions and millions of windmills pull the energy out of the rural climate system and redeposit it in areas where energy is consumed in mass — cities. Cities get hotter and rural areas get colder. A disparity that would try to correct itself... tornados?