It all depends upon where they're located. It's not uncommon for people to install them next to a door, so that they don't have to reach in far, to light the pilot, etc. The front of LG's is pretty open directly in front of the pilot orifice (i.e. the flame). So, if it's near the door, and there is a lot of wind at the same time, it may be enough to blow it out.
It's more of a concern as the heater gets older and the pilot gets smaller. The pilot can be turned up and the pilot jet can be cleaned in order to offset that possibility. But turning the pilot up too high will generate enough heat to cause the heater to be hotter than expected.
A simpler remedy would be to locate the heater further from the door... or make a wind shield out of sheet metal...