Weather in early October is usually very good - i've been several times and yes the sea is ok for swimming.
High winds on Rhodes tend to be in the peak summer months and are stronger on the west coast so either resort will be fine. You might find it cools down a bit at night and i guess Pefkos is a bit more exposed but there won't be much in it.

Definitely Lindos, we have stayed in October, it was lovely even the evenings, Lovely roof top tavernas, narrow streets, I think the buildings keep the heat evenings too