Wow - lot's of great questions and comments. I'll see if I can encapsulate some responses - sorry for the TLDR potential.
Why? For me, it's just something interesting to try. My daughter thinks I have Scottish heritage and I decided to get a DNA test from a lab not connected to Ancestry or 123. So for starters I am American; my DNA tracks to about 50% English, 20% German, 11% Nordic, 7% Irish and about 3% Scottish - and the rest is a mix. With a little history study, my DNA tracks right there with the history of how the UK was formed.
But, we're not in Scotland. True, and in Scotland, most men do not wear kilts outside of formal gatherings. But from what I gather, they're rather tolerant of Americans honoring Scottish history. As far as Clans, with DNA and Heritage research, a good deal of people have some Scottish ancestry they can trace to a Clan. Some will recognize a spouse's lineage, and wear their tartan. And as Warren pointed out, there are Universal Tartans open to anyone. Here's a "secret" though, there are only a few Restricted Tartans where no kilt maker or weaver will sell it without the proper patents. For example, King Charles has the restricted Royal Tartan. Otherwise, it's self-governed as there aren't really any Kilt Police.
We Americans also have invented something called a utility kilt. It's kilt like in that it's wrapped, no legs and has quasi-pleats, but it's not a real Scottish kilt. Think Carhart-meets-Kilt with pockets and places for EDC doo-dads. Many hikers like this option. But why hike in a kilt? Leg-room and breezy feeling. You can also hike in a tartan, especially since that was the only option in the ancient days.
Wind Concerns - yep, definitely a concern depending on the kilt material and weight. Did you remember a kilt pin to weigh the apron? And always...did I see what I thought I just saw???? Hmmm...Regimental or under pinnings? You do you - but me? I'm a bit more modest and feel no need to scare small children or excite the ladies at my Mom's Assisted Living center.
All in all, my limited experience has been surprisingly positive. Crazy that after I've tried it, I've thought, "Why did we ever put on pants?" I've worn it to Church, dinner and even an outdoor work function. The Kilt is a proper man's garment and I've gotten compliments from men and women. I've posed for pics and in general try to be a "kilt ambassador" as much as I like to share my pipe collection.
Thanks for the comments - sorry for the wordy response.