I did the that circle (as part of a bigger route) counterclockwise a few years ago, and I recommend clockwise, Fernie to Coleman.
1) There's a wind farm at Pincher Creek, wind is from the West. Boy oh boy, is it windy here. Would have been really fun as a tailwind. As a headwind, well, there was some crying.
2) Going to the Sun Road - I rode it the other way, but someone on another forum who's opinion I value greatly says the best way to ride this is East to West, due to sunlight / view conditions. There's also a daily road closure to bikes on the West side, so do read up on that and follow the rules. On the other hand, that West wind was happening here too, and you'll have it as headwind if you take this advice, but I think it's not as consistent / consistently strong here as around Pincher Creek. You might want to check me on this one, though.
Hope this helps at all. Either way, it's a great ride. Don't miss the pie at the Park Cafe in St. Mary - seriously.