The point raised here is to use the energy that is dissipated during braking (as heat, noise and mechanical abrasion), for some useful purpose, not to find another use for the pedalling energy that is used for propulsion.
A windmill on a bike would be an additional drag force which would slow the bike down (ie transfer energy from propulsion to something else). A windmill would only work if the wind was blowing from behind faster than you are travelling. If this is the case, then you hardly need extra enegy, you are having a free ride.
If you check at the patent office you will probably find scores of energy conserving mechanisms, none of which were really viable.