Essentially, it's more efficient to generate heat directly from a windmill, than first turning it into electricity.
That being said, porque no los dose. Efficient heat is great, but you don't always need it. If you only use the electric generator a few months a year, it may still be worth it, given you're investing in a windmill.
Given that a heat pump can be a lot more than 100% efficient, it's likely more efficient to generate electricity and then use a heat pump to heat the house.
The article has a long section on using the windmill to directly drive the compressor of a heat pump using a gearbox. This is likely to be more efficient than converting to electricity and then using that to run an electric compressor.
There's no reason you couldn't run the compressor of a heat pump mechanically. Then the question becomes is it more efficient to generate electricity to run a motor (or a linear compressor, I suppose), or use a gearbox to change the rotation speed. Plus or minus if you need mechanical air movement in the conditioned space.
Mechanical heat pumps are covered in the article. And for the child response to yours, mechanisms for sourcing heat for longer periods are also covered (e.g. 10k, 20k liter tanks of warm water, hydraulic oil vs water as primary heat transfer fluid)
Energy storage doesn't require going through electricity either; in fact, highest capacity storage systems are mechanical - flywheels, lifting heavy objects high, or pumping water up the hill.
True, but safety is a concern. Batteries are easiest for consumers to maintain safely. The failure modes of flywheels, lifting objects, or pumping water - when not properly maintained - are disastrous in ways that we mostly are not able to handle. Batteries start on fire, but we have fire codes and fire departments so your survival chances are reasonable. Batteries are also something that are available to consumers in a well engineered (well hopefully) package, while the others are a bit of a DIY hack. Electric implies you can connect to the grid and thus offload the whole concern to someone else for a small cost (this applies to the vast majority of us).
In the end you need to consider all the trades offs. Once you do though, electric starts to look good just because of how flexible it is, even if others beat it in any one area.
For a lot of folks in the Northern hemisphere, heating is the largest share of domestic electricity consumption. Same for offices. I would say there is great potential for this to reduce electricity consumption, plus the hot water can be stored without the loss at conversion that electricity has.
That being said, porque no los dose. Efficient heat is great, but you don't always need it. If you only use the electric generator a few months a year, it may still be worth it, given you're investing in a windmill.