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I'd go with the least amount of wind protection possible in a situation. The more you protect, the more you're blocking the sound you're recording as well.
Some of the Rycote wind shields are designed so that you can vary the level of wind protection using their own accessories. Thus, you can use what's ideal for a particular situation.
I avoid using a furry when possible just because it's heavier (especially with a zeppelin). There is definitely a perceivable sonic difference as well. You lose some of the crispness of the dial w/ a big furry/zeppelin, though chances are that usage of NR or filtering in post (as is almost always done on exteriors) is going to eliminate that crispness anyways.