I see what you mean but I don't think your base assumption is correct. Energy can be transferred as well as converted to other forms, which is what happens to the vast majority of the energy removed from the wind in the case of it hitting the building It gets transferred to the ground, not converted.

If the wind hitting something converted all the kinetic energy to other forms rather than transferring most of it, the sail wouldn't work for driving a ship for instance. Again, maybe I'm not catching what you mean here so I'm sorry if that's the case. It's true everything will eventually become heat, as in the heat death of the universe, but looking at the example of the building resisting the wind in isolation only a tiny fraction of energy ends up as heat rather than being directly transferred. I'm no physicist but that's my understanding.