It is no secret that prolonged exposure to loud sound is highly damaging to our hearing. Listening to loud music is one of the common factors leading to degraded hearing ability and tinnitus, and is deeply unhealthy.
At the same time, such level of noise negatively impacts the quality of sound perception, which degrades the musical side of the musical performance.
In what seems to be the echoes of the so-called "loudness war", bands still stick to the idea that "the louder you blast it - the better". But it's not true. There are many other ways to energize the crowd without causing them sound damage, and I'd love to see more of those, instead of them trying to be the loudest ever.
In my experience, you situational awareness is better, because all sounds are turned down, you can still hear everything, it's just not as loud. Most of these attenuate the frequencies where the wind noise is more than the rest, which also helps.
The main reason why I say your awareness is better though, is that you have less fatigue when you aren't constantly exposed to loud noise while riding, again in my experience.
The helmet you have also makes a huge difference, just like the bike. On a naked bike you'll have more wind noise, whereas on a touring bike with a large windscreen, it's mainly engine noise.