Yup, is normal to eat the eggshell. They don't all do it, or do it all the time or eat them all. Some remove them a distance away from the nest like other debris, others just flip them over the edge of the ledge. Given our angle this year, we'll get to see what Princess and Trey decide to do soon (hopefully).
And nope, though we usually have wind at this time of the year, its part and parcel of the change in the season. Wind is the movement of air down the air pressure gradient and we had a high last week (warm temperatures), which was replaced by a low (rain, cool/cold weather) and now we have another high coming along (temps for tomorrow are 18C high, 7C low, currently 9C and -1C tonight). The speed of the wind gives you an indication of how "high" the high is and how "low" the low is - the speed is directly proportional to the difference between the high and the low pressure. Think of it as a slope, the steeper the slope, the faster the speed.
Glad this question came up ... sorry (a little) for the Climatology 101 class