I also live in a dry climate. I have found when I shred the leaves I have collected, they stay put ...
The wind doesn't seem to get under the shredded leaves and move them away from the rose beds.
I may not have the same kind of wind issues you have, Kyla, because my primary gardening area, the house pad, was cut out of a slope. I can hear the wind roaring through the trees at the top of the slope, but, although there is wind in the garden, it doesn't seem to be as strong.
My garden is more open, now, because neighbors have removed trees, but the shredded leaves still seem to stay put.
This year I am using wood chips for the garden because of the drought. Leaves just dried up too quickly to serve as good mulch material. I collect my wood chips from the utility company's chipping pile, so I know they have not been treated with anything. They, too, decompose and feed the soil. It just takes longer.
Next year, if the drought is not so severe, I'll go back to leaves. I've found changing mulch materials seems to be better in my garden.
Smiles,
Lyn
