Plenty of good, natural English isn't idiomatic. The problem here is actually that "was created" implies deliberate creation, though. Also, "the location" is redundant, it is implied by 'where'. You could try "originates".
"It doesn't matter where the wind originates, what matters is the direction it's coming from."
Of course, normative grammarians will say that should be "the direction from which it's coming", or even "from whence" (or even just "whence" if they're really stuffy), but "the direction it's coming from" is normal, everyday English.
If "originates" seems to highbrow, just replace it with "started".