This relates to any fast boat, not just a cat.
On (much slower) cruising cats the challenge is not the apparent wind direction changes but the wash off and the upwash on the structure. Possibly also the challenges related to linkage (when no own rudder
present on the vane unit) and to placement of the rudder
(for vanes that have their own rudder).
I have seen a handful of cats with windvanes though. Would be interesting to hear what their owners say.