As said elsewhere “It depends”—-on the paddler’s fitness and skill, the geography of the lake, and whether the equipment (boat and clothing) make capsizing inconvenient or dangerous.
Generally speaking, paddling into the wind and waves requires greater fitness and less skill (you must maintain a pace and minimze rests to make headway, but it is easy to keep the boat oriented to the wind, and the wave action will not tend to tip the boat). Paddling downwind requires less fitness but greater skill—-at best you can deliberately surf, at worst you must be able to stay upright when you unintentionally surf and then broach (turn sideways). Paddling across the wind requires both fitness (you may have to paddle one side exclusively) and skill.
The geography of the lake means not all water is of equal danger. Waves form in response to “fetch” (length of water over which wind is blowing) so you may not need to actually reach shore to get to a part of the lake away from large waves. You may even be sheltered from wind by hills etc. Closely related, the shore on which the waves land (the lee shore) may be more or less safe to land on depending on the wave height (caused by wind speed, fetch, and time) and whether it is sandy, rocky, etc. You may have to be very close to shore to see the very real danger of concussion (which may lead to drowning), spinal cord injury, fracture, sprain that can result from abruptly “dumping” waves on sand, or interacting with rocks, even with relatively small waves. It is entirely possible to paddle to a lee shore only to realize there is no safe place to land (although usually in a lake you can at least abandon the boat and swim in). It also matters where exactly will you be on land and is that a means to safety.
Finally whether the paddler is wearing a PFD and is dressed for immersion without hypothermia, and whether the boat has appropriate flotation and rescue gear (pump, paddle float) determines whether a capsize is inconvenient (you’ll float a while but even if you can’t get back in you’ll be blown to shore eventually) or fatal (you will get hypothermic, lose the ability to self-rescue and eventually to swim, and then drown). That might influence your decision to avoid or enjoy the tippier downwind run to shore.