I'm thinking that with the Segway, there may be those "issues" you talk about. I know they've had time to think of everything and test it themselves in all sorts of situations, but the real world and idiot riders (like Diane Sawyer) will be the true test. As for wind, people shift their weight into the wind to compensate for the push in the opposite direction. So the net effect should be zero, but there may also be a temporary hiccup.
My biggest question is how it will handle curbs and weird angled drop-offs.
As for the wind, all I can say is you've never dealt with Chicago wind. In the short time I was there I was knocked down, pushed around and skidded by the wind (that was fun, leaning real good, too much ice on the sidewalk, slid backwards right into a mailbox). You might try to lean forward but you can't the wind is too buff. Saw a guy once with an art portfolio (BIG folder to us normal folks) that caught the wind just wrong and it actually picked him up off the ground, only a foot or so (shoved him about 6 feet backwards while he was in the air). Any of those kind of forces while on something that responds to your shifting weight will be quite amusing to watch, no fun at all to be in the middle of. And Chicago isn't the only place that get's that kind of wind, it's just the only place that's proud of it. Most coastal areas and some desert places will get some serious winds, not as often but just as intense.