Hello, I'm also a researcher, at Virginia Tech University in the USA. I'm in Aerospace engineering, working on algorithms to estimate the wind from sensors and the plane's own-motion. I know the details of how EKFs work... but it's not exactly something I can briefly explain clearly. (I'll give it my best shot below)
Would you be willing to share what kind of wind sensors you're flying, and other details? If you'd prefer to talk offline, my email is hgm at-sign vt dot edu.
My best shot at an EKF and how it does the wind:
An EKF mathematically combines two sources of imperfect knowledge: 1) What our (theoretical) dynamic models say a plane should do, given the inputs (throttle, aileron, etc), and 2) what our (noisy) sensors say the plane actually does. The EKF combines each of these, giving more weight to the more exact (less-uncertain) sensors to produce a best-guess at (that's the "estimate of") the true plane motion. It also tells us how much it believes in it's best guess. (that's the estimate's uncertainty)
The wind estimate is calculated accordingly: Our (theoretical, low-quality) model of the wind is that "it will blow exactly how it blew last time we calculated an estimate." Because it's not a really great guess, we give it high uncertainty. Then, when the filter sees a difference in the airspeed and the groundspeed... it can choose to "explain" it by either assuming it was noise in some sensors, or "explain" it by changing it's estimate of the wind. So when you plot VWN and VWE, you're plotting this estimate.
I hope this helps!