My question is does the device settings need to be changed when the wind chamges?
I do not change settings regarding wind. I do not change ANY setting for wind, as my friend Marphy always changes wind right after the take off

However I never needed such difference, I set it for wind and I can live with such setting in calm day.
How many times have you flown round one in the morning in 0-3 variable winds only to come back fly round two in the afternoon with the winds at 10+. It would seem a little more accleration and more decleration could be valuable in the changing conditions.
I would say it is just opposite, I think calm day will accept stronger regulation. It is just like with IC engines, while jurassic 4-2-4 engines with nice and strong switch will fly nicely in calm, they will tend accelerate in wind in low positions ... while piped engines with well and precisely limited rpm by internal structure of pipe (baffles, cones) are signifficantly better in wind (compared with 4-2-4).
I was thinking if in fact these things do need a change in the above situation would it be easier to carry three of these things in your flight box. One setup with parameters for 0-5 winds, one set for 5-10, and one for 10+. Then if you are at a contest and it changes you just plug a new one in.
The way Darryl has his running the bottom of the plane the access would be so simple. Unplug one plug another one in.
No, you not need 3 pieces, IF you want different setting for different conditions, you need just table with proper settings. You can somply set different setting in relation to conditions just before flight. It is programmable by small box plugged between ESC and timer and you modify settings - question of seconds.
I usually do not set anything, but in Bulgaria I flew practice flights early morning (9 degrees C) and official flight on strong sun (something around 40 dge C) and that dry air did my flight quicker morning and slower afternoon, so I rather set lap time little bit regarding temperature. But on local contest in more stable temperature I not need to change anything whole year.