If gravity and inertia did not exist you would be correct, but until they dissappear, you will loose something when you turn, whether it's in calm air, or a 50mph breeze.
I don't think anybody disagrees with this. The point is not that you don't lose something when you turn, it's that the loss is the same for any turn using the same control inputs, whether into, against, or across the direction of the wind relative to the ground. (There is no "direction of the wind relative to the plane," because the plane is in the moving air mass that is wind, and moving with it.)