The scheme is sometimes said to be based on the "tank-and-tube" model (Gosman,
Pun, Runchal, Spalding, and Wolfshtein, 1969). As shown in Fig. 5.2 [below], the
control volumes can be thought to be stirred tanks that are connected in series
by short tubes. The flow through the tubes represents convection, while the
conduction through the tank walls represents diffusion. Since the tanks are
stirred, each contains a uniform temperature fluid. Then, it is appropriate to
suppose that the fluid flowing in each connecting tube has the temperature that
prevails in the tank on the upstream side. Normally, the fluid in the tube
would not know anything about the tank toward which it is heading, but would
carry the full legacy of the tank from which it has come. This is the essence
of the upwind scheme.
Especially take notice of the phrase: the fluid in the tube would not know anything about
the tank toward which it is heading, but would carry the full legacy of the tank
from which it has come. With other words, the upwind scheme is equipped with
"knowledge" about past and future. In the continuous analogue, on the contrary, the so-called
arrow of time is completely absent. Thus, when taking the limit for tank and tube sizes to zero,
directional information is lost forever. Therefore in the upwind case, the Continuous, instead
of the better and the more exact, rather seems to be sort of sloppyfication of the Discrete.
It is demonstrated in the same
MSE reference that upwind schemes are no way less accurate than, for example, central differences.
It's even possible to reproduce "exact" (read: analytical) solutions with them. So the argument that upwind schemes
are only $O(h)$ instead of $O(h^2)$ is just ge-$O(h)$, as we would say it
in good old Dutch :-)
Suppose you have a giant vase and a bunch of ping pong balls with an integer written on each one, e.g. just like the lottery, so the balls are numbered 1, 2, 3, ... and so on. At one minute to noon you put balls 1 to 10 in the vase and take out number 1. At half a minute to noon you put balls 11 - 20 in the vase and take out number 2. At one quarter minute to noon you put balls 21 - 30 in the vase and take out number 3. Continue in this fashion. Obviously this is physically impossible, but you get the idea. Now the question is this: At noon, how many ping pong balls are in the vase?The answer given by most mathematicians sounds as follows: