Yes mud daubers will build nests in it when it's rolled up, but they'll build nests in anything. Yes, a strong wind can rip the awning right off of it's attachment points if it hits it just right, even if it's not open, bue especially if it's open. That's why you don't deploy it in the rain. It's for shade from the sun only, and frankly if you already have a pergola, you don't need an awning for more shade unless your vines are slow growing, and then maybe you need different vines. If you want a rain protected spot, then you need to expand your pergola or maybe add a polycarbonate roof to the one you have. Don't forget to explore local codes before you do this, because adding a roof will add quite a bit of uplift pressure to your pergola, so you want to be sure it's properly attached to it's footings as well as the roof being properly attached.

Thank you, live wire oak, now I am terrified! What are your favorite vines for a pergola? (Surely not wisteria)
Lynn