The sail, your plane and the wind speed instrument are all reacting to the same force. Sure, cold air will will make the wind relatively more powerful when hitting an object and forcing it to move, due to being denser and have more effect on your sail boat but it has the same affect on the instrument, so it is all relative. NOt a physicst, but am guessing that the wind instrument is more like IAS than TAS, but it doesn't really matter as it is reporting on the ultimate force of the moving air and that is all that matters, Just like TAS is not relevant for determining stall speed. The wing and the airspeed instrument are both reacting to density changes the same way, therefore no need for compensation. The IAS reading may not be accurate, but it shouldn't be in this case, as it would be useless if it was, unless you are REALLY good at doing math in your head.
If the NWS was temp compensating the wind speed, you would have to be doing a lot more math to figure out what actual force you will be fighting on landing. As long as the data is force based, the number is relative and therefore beneficial to you. Same way that you want your IAS to be un-compensated when trying to determine when your wing will stall. There is a time and place for both relative indications and true indications. Pilots should be more interested in the relative force applied to their planes than the true numbers that separates speed from density.