Like storage, continentspanning supergrids have applications beyond windpower, some of which are far more economical, and will therefore take precedence.

Gird europe with a network of HVDC lines capable of doing transmission on the scale you envision, and what you have actually done is unbind powergeneration from location, which means that new generation capacity will be built where the production cost is lowest. This could potentially be quite bad if it turns into a game of regulatory arbitarge with the result that we end up getting our power from coalburners in whatever jurisdiction still lets them pollute as much as they like. It could also be quite positive if it results in the utilization of remote hydro /geothermal, and the buildout of nuclear for the export market in places with sane regulatory regimes and existing expertise.

What will not happen is the exclusive use of such a grid for wind. Now, in fact, some wind will be transmitted on such a grid, simply because such a radical delinking of locality and power consumption would get a lot of windfarms constructed at places with optimal prevaling wind speeds (The economics of wind are all about location!) but it would be very unlikely that the penetration of wind into this supergrid would be very much higher than in the present national grids.