OK, here's my theory. I think weathercocking happens more when paddling forward than when the boat is sitting stationary in the water and being blown sideways. When paddling forward the bow parts the water, creating a buildup of water on the sides of the bow, which hold the bow in place by increasing lateral resistance. The stern, however, with the skeg up, is moving through relatively flat, turbulent water, which frees it up to move laterally downwind. This may be total BS though, but I believe it enough to test it by paddling backwards and see if the bow falls off downwind. With my Pintail I can correct weathercocking by tuning the skeg. If I move the slider as little as 1/4" it adjusts the angle of the boat to the wind. When I'm paddling that boat I'm constantly adjusting the skeg so I don't have to paddle harder on one side or edge the boat. With it's slack bilges the Pintail does not edge turn very well, unless I'm surfing above hull speed, and then it's very responsive to edging.
The Connyak BBS