That is correct. To put this into perspective, the force exerted by a 125 mph wind on a window pane, for example, is equivalent to 1250 lbs. of dead load. Add to this the sustained, pulsing nature of wind loads and you have a very destructive situation.
Not only the pulsing nature of the wind, but the destuctive nature if airborne debris. A lot of windows can withstand a wind gust of 100 mph -- but not a shingle from the neighbors' roof propelled at 100 mph. So as structural components and trees begin to fail, the destructive process feeds itself. Which is one reason why damage (and odds of death) increase by much more than the square of the increase in wind speed.