On azalea and deciduous trees, wire is only effective during the growing season. It's the addition of new cells that cause the bends to "take", and no new cells are produced during the winter.on this last tree i only used aluminium though, you are right i shouldnt really use copper but on that first tree copper seemed the best choice to hold the bends or it had to be very thick aluminium which is hard to apply.
As for the cold, maybe you are right but this is not a common azalea, this grows in mountainside in hokaido where temps can get very low. I think this is probably the most cold hardy rhodendedndrum there is, or 1 of anywayz. So i dont think it will do any harm to it.
An azalea would be a difficult tree to make into a windswept. Not because of the branches, it's the leaves. Azalea leaves pretty much come out in all directions. Under the influence of wind, the ones facing the wind would be blown back - so they would be curled back or turned upside down or something.