I biked from North to South in April. I entered the UGRR route at Grand Rivers, KY, and ended at Mobile, AL. If you check for wind roses for various portions of the route you can get an idea of what to expect from the wind. What I found was that I exptected to have a headwind about 2/3 out of the South/South-West/South-East in the spring. That is pretty much what I got. Particularly as you ride across TN/MS/AL portion of the route, you are basically heading South the vast majority of the time.
Since you are going in the fall the wind pattern may very well be reversed. Since you are doing the whole route, and not just the Southern 1/3 like I did, the net effect of the wind may balance out a bit more. So I don't think that there is any real reason for you not to go N-S. In the early fall, it makes perfect sense to me to start where its cooler in the North, and arrive in the South when the worst of the heat has faded a bit.
As for the historical aspect, I would not lose much sleep over it. One rider I ran into had spent a lot of time researching the issue before depature. Apparently over 90% of those who successfully made it to freedom started in border states like KY. Hardly anyone made it out of the Deep South. So to a large extent the route should be viewed more as a symbolic gesture than any recreation of history. In any case, you will find very few to zero historical sites related to the UGRR itself once you leave the Ohio River at Smithland, KY. From there on, most of the historical sites you encounter will be Civil War history, because the Union armies worked their way South pretty much along the UGRR route from Paducah, KY to Corinth, MS. So there is more history moving South in that part of the route than North, if you will.