I agree with you, when you measure using gradient alone or feet per nautical mile to measure efficiency. Specific fuel consumption, no. Time over a distance, no. I also don't agree with you that if I spin my VS bug to a 1000'/min climb heading westbound that those 1000'/min are different eastbound. Feet per nautical mile, absolutely but not on the clock.

Didn't address fuel consumption, was only making the statement, based on experience, that the aircraft, climbing at a ROC of 1,000 feet per, will arrive at 10,000 feet, quicker into the wind than downwind, because of the difference in angle of climb to 10,000. While you are cruising around in your kerosene burner, check your AOA instrument into and downwind. Might be of interest to you. The best test is the radar altimeter, check it both ways and see what you get.
Not being familiar with the current crop of jet aircraft and the latest, greatest instrumentation available to the PIC, not sure how vertical speed get its info, from pressure system, using static port, or raw data from radar altimeter, but the AOA of any aircraft climbing into the wind is greater than downwind, so there for, into the wind, it will get to 10,000 feet quicker in time, regardless.