It seems you have multiple questions here:

1) *Knowing nothing* can certainly be called a participle phrase modifying *we*. However, I am inclined to call it an adjective modifying *we*. ["A participle phrase is participle along with any associated words, such as modifiers or complements. It can be used as an adjective to modify a noun or pronoun ... *The Chicago Manual of Style,* 5.89]

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

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 ...__