It's a trade-off.
I configure my bike for the majority of use.
Every ride I go on I run into wind. It might be real wind, or it might be the turbulence coming of a semi-truck.
I seldom run into rain and, if I do, the water that comes at me from the front tire is just adding a bit of insult to injury. Mud is something I run into even less frequently; it wipes off.
My recent trip was pretty typical. In 1500 miles of riding I ran into all sorts of wind and turbulence (coastal breeze broadside, interstate trucking turbulence, 20mph crosswind for 10 miles on I-5, and mountain breezes that got tacked through in the twisties), no rain, and ran through about a quarter mile of muddy road. I wouldn't trade the 1499.75 miles of good wind performance for not having mud sprayed on me for a quarter mile. The mud kinda looked good on the KLR anyway.
The stock fender is really pretty good for mud and rain protection, but I found it pretty sensitive to being knocked around by the wind. That knocked the bike around pretty violently.
I swapped it out for a Cycra fender like this one
and have been happy with it. When it comes to cross wind performance with that fender the bike gets knocked into a slight countersteer that leans it quite naturally into the wind. I used to really hate riding in the wind. Doesn't bother me a bit anymore.
I've heard good things about similar KTM fenders.