I agree that there is a psychological component, but I think there is more to it than that. For me, a headwind is similar to climbing vs. riding the flats or with tailwind. I am better at holding power on long intervals when I'm riding with the wind to my back (assuming I'm not spinning out). I think it varies by person. Many people put out their best power when climbing, but I put out less power compared to flat roads. There is something less efficient for me (even at the same cadence) when climbing or riding into the wind.