I've never had a coyote wind me and howl. Normally they'll bark when you're busted. So I think you should have threw more sounds out there to see if you could break it loose. I don't think it smelled you I think it thought another coyote was there. If it moved in closer it obviously wasn't afraid of what it thought was where you were.
This is just my personal opinion and what I would do moving forward. If you deal with high winds I would start calling with the wind in my face and make stands close together. I've hunted with guys that hunted with the wind to their back when it was windy and it never panned out. Setting up with a wind going left to right or right to left is the only time I'm ever able to see downwind. I'm not saying what works for me will work for everyone but I've seen it work a lot. It's worth a try. One thing I do know is if something isn't working you're not losing anything by trying something different.
This is just my personal opinion and what I would do moving forward. If you deal with high winds I would start calling with the wind in my face and make stands close together. I've hunted with guys that hunted with the wind to their back when it was windy and it never panned out. Setting up with a wind going left to right or right to left is the only time I'm ever able to see downwind. I'm not saying what works for me will work for everyone but I've seen it work a lot. It's worth a try. One thing I do know is if something isn't working you're not losing anything by trying something different.