I've only setup a tent in moderate winds a couple of times, most of my camping is in forested areas with little wind. It's really not that bad, though, you just need decent stakes. Once it's up, at least on the tents I've had, the wind doesn't get under the tent, the risk is of the wind blowing the whole tent over.

The idea of the fly is that the tent itself is only waterproof for the bottom couple of inches of the floor, to keep water out. The rest of the tent is breathable. That is, not windproof, not waterproof, just lightweight nylon fabric. The fly goes on top, and at least on mine is staked out just a few inches wider than the tent itself. The fly is waterproof and non-breathable. The whole thing was developed before breathable waterproof fabrics existed.

The reason is that for a small tent - mine is an old Timberlite - you don't get condensation build up inside, and you also stay dry from the rain. It's comfortable in the summer and the winter. A fully waterproof tent would be dripping wet inside from condensation and you'd be cold because of it. A bonus is that you get a little vestibule area by the door, where you can keep your pack and stuff dry outside the tent. Mine is a two person if they're very friendly, a tapered a-frame shape.

On down bags - When I was first camping the tent I would borrow had a leak, and it would always rain, so there would be puddles inside the tent. This was annoying. Down isn't as bad as you might think, though, if you keep the bag on some insulating pads and out of the water it's fine. If you don't you have some cold wet spots, which is the annoying part. In winter, it's much less of a big deal because there's no rain to worry about. My down bag was actually an old korean or wwii surplus army set, a bit tattered but worked great. In winter the worst thing about a down bag is that you do not want to get out of it in the morning.