WiFi at least does go through you. It's harmless, even if it was four orders of magnitude more powerful it'd just cause heating, but there's contact.

If I had to think of a reason a windmill could cause illness, I'd guess infrasound, but the the proponents seem to think it's something about the way they reflect sunlight. It reminds me of when people in England though the first trains were making their cows sick, it's like real bumpkin stuff.