I've not noticed this problem but haven't yet driven under very windy conditions. Road surface noise is the dominant aural intrusion when travelling at speed (concrete surfaces are noisy, as with the previous Jazz). Sound proofing seems to be no better, and may be slightly worse, than on the previous Jazz which may be why you are noticing the wind noise. We seem to be encountering some issues which shouldn't occur given that the rest of the world has had time to debug this vehicle. Unless, of course, Honda has made some tweaks (like leaving off some soundproofing) in order to get lower CO2 numbers for the European market.
However, on a related subject I felt that the wind noise arising from having the front windows an inch or two open for some natural ventilation is noticeably less than on the previous model.