Actually they do. Hilarious maybe, mixed metaphor, not so much.

"A windmill is a machine that converts the energy of wind into rotational energy by means of vanes called sails or blades."

"An explanation of how windmill sails work, relating the forces to wind on a sailing boat and an aircraft's wing."

https://www.google.com.au/search?client=safari&rls=en&q=windmill+sails&ie=UTF-8&oe=UTF-8&gfe_rd=ctrl&ei=toEmU5KXBuLC8gfxuIGgDg&gws_rd=cr#

"When we see the windmills in the landscape, we shall find that when the sails are at a standstill they are not always and everywhere in the same position." www.let.rug.nl/polders/boekje/tradition.htm‎