Our very first caravan came with an awning, an old cotton Bradcot, and on our first trip I put the thing up in a gale. Stupid thing to do looking back, but I thought for of us could hold it down and get the pegs in. All of a sudden there was a ripping sound and yours truly was left with two small handfulls of maroon cotton and the awning heading for space. The material was probably rotten but even so.
Nowadays, if we are caught by extreme winds, I would always try to leave the awning up, less dangerous to the caravan than trying to take it down in those conditions.