In an indoors test, a windscreen won't make too much difference unless it can be made to function as a skirt where hot air is channeled up along the sides of the pot.

In the field, in wind, I'd take a windscreen over a heat exchanger pot pretty much any time unless the particular heat exchanger pot were to provide some wind protection. The Jetboil PCS offers some, and the MSR Reactor offers a lot of wind protection.

On the other hand, a Jetboil GCS's heat exchanger is exposed. Heat exchangers cut both ways. A strong wind can suck heat out via a heat exchanger just as much as a flame can put it in. I've read posts where a person burned an entire canister of gas but couldn't get their water to boil.

Manufacturers typically say "never use a windscreen with an upright canister stove." Of course those warnings are primarily to prevent lawsuits. The reality is that in temperate conditions, a windscreen with something like 270 degrees of coverage around a canister stove probably won't overheat a gas canister if you know what you're doing, particularly if it's windy.

The trick is to feel the canister. If it feels hot (hot, not warm) to the touch, then you need to take immediate corrective action. As long as the canister is no more than warm, then it's perfectly safe to use a windscreen. You just need to be diligent and repeatedly feel the canister. This is not something that you light and then go set up the rest of camp while dinner cooks. You need to feel the canister and keep a close eye on things.

In cold weather, you can go with a lot more coverage, probably more like 315 degrees of coverage, just leaving enough gap that you can adjust the flame. The heat of the flame can work to your advantage, keeping the gas in your canister warm.

Using a windscreen with an upright canister stove is not without risk. If you know the risks and are a diligent person, you shouldn't have a problem. If you're easily distracted, maybe you shouldn't use a windscreen with an upright canister stove. For the easily distracted, a remote canister set up can be used with a windscreen and will never need checking. The windscreen with a remote canister set up protects the fuel from the heat rather than transferring heat to the fuel.

I've got an article coming out in the April edition of Seattle Backpacker's magazine that will discuss remote canister stoves further.

The times where it might be really worthwhile to have a heat exchanger pot are:
a) Snow melting. Snow melting can take a long time. If you have a certain amount of time alloted before you turn in for the night, it may be worth it to have a heat exchanger pot so that you can get everything done in the time between the time you arrive at camp and the time you need to turn in. In really cold weather, your sleeping bag may be the only thing able to keep you warm enough. You don't want to spend a lot of time outside the bag messing around with melting snow.
b) Big groups. If you're cooking for big groups, you may have larger quantities of water to boil or food to cook. A heat exchanger pot can certainly speed things up.
c) Fuel availability restrictions. Say you're doing a longer hike. You need your fuel to last "X" number of days. A heat exchanger pot might help you do that. On a Sierra backpack in 2009, I got by with about 100g (one 4 oz canister) of gas for five days for three people (four hot suppers, four hot breakfasts, cold lunches). That's 25g of fuel per "day," (day = 1 breakfast + 1 supper) which is pretty danged good. I was using a Jetboil GCS (which has a heat exchanger pot) and a windscreen.

HJ