Rules FAQ
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Even if Windblown is the only kneeling Army or Mercenary character in play, you can still trigger its reaction and return it to shadows, because there is an eligible target when play restrictions are checked. The effect will simply fail to resolve after the costs are paid. But note that your opponents’ Army and Mercenary characters are eligible targets for Windblown as well, so you will be forced to choose and stand one of them if you have no targets of your own.
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Kneeling a location that was targeted by assault happens before reactions to winning the challenge can be triggered, so Windblown will still be in play at that point.