Does anyone has good experience with integration of wind speed anemometer
with HA (can be the all weather station) ?

I have an AcuRite 5 in 1 weather station that includes an anemometer/windvane/rain collector. I have it sending data to Weather Underground and then I use the WU weather component with my station ID to pull in the data.

You could also do this with other stations/devices using Meteobridge and possibly access it directly with JSON.