Particles are not related to the unity physics system. That's why they are not affected by the terrain in your game.
Regarding windzones, I found this quote in the documentation:
Wind Zones are used only by the tree creator for animating leaves and branches.
To solve the wind problem, you are going to have to, depending on the sophistication you need, either use the velocity settings of the particle emitter, or script something more advanced (parsing the array of the particles, and modifying their positions accordingly)
For the terrain.. what you are experiencing seems like a bug I'd expect to see in an actual game kinda... but to circumvent it, I suggest scripting the desired behavior, such as killing the particles when they get too close to the ground, or what you'd like.