It seems you have multiple questions here:

1) *Knowing nothing* can certainly be called a participle phrase modifying *we*. However, I would be inclined to call it an adjective modifying *we*. ["A participle phrase is a participle along with any associated word or words, such as modifiers or complements. It can be used as an adjective to modify a noun or pronoun ..." *The Chicago Manual of Style,* 5.109]

2) *Simply* is an adverb modifying *blowing through* also modifying *we* as above. The phrase is acting as an adjective 

1), 2) alternative: Consider: *We are knowing nothing* and *We are simply blowing through*. In this case we have a "special case" with a *be* verb making these present participles a conjugate verb with *are*. This makes *simply* and *nothing* simple adverbs. [*The Chicago Manual of Style*, 5.151] Personally, I would go with this explanation.

3) Punctuation is more style than grammar. An em-dash works perfectly well in your last example. However, you might also use a colon. Or imagine if Murakami answers the question with sentence one, but trails off on an unknown tangent; it might look like this:

__You said that the mind is like the wind, but perhaps it is we who are like the wind.  Knowing nothing, simply blowing through ...__

However, if this is his prose, he is welcome to use whatever punctuation he wishes to best convey his point. I write fiction, but I still don't use sentence fragments; I like the em-dash as you did On the occasion, I will use fragments with poetry or song lyrics embedded in my story.