Maybe their feet are still paddling underneath the water. They may remain in their tucked-up position even when they wake up a little to paddle their feet. Or, maybe they are sitting on top of a patch of vegetation that helps to keep them from drifting away. Or, perhaps the surface of the lake doesn't have waves, despite the wind. If the wind isn't making any waves on the water, then the swans wouldn't move. Also, swans are rather streamlined creatures, so any wind may just blow around their bodies without affecting them.