Wind direction doesn't have anything to do with VMG calculated to a point in GPS.
On the GPS, set a windward mark as a waypoint then "go to" that waypoint and it will tell you speed and VMG. During a race, wind shifts don't change the windward mark. With this you can see if you are pinching too much. This really works well downwind. During the RTI, the GPS was key in keeping us honest doing the apparent thousand gybes on the intercoastal (we followed VMG, not boat speed).