You don't mention whether you are using the Android or iOS app or the Windy website. Sometimes changes don't happen using an app so go to their website using a browser and do this:

First, select the Temperature Layer on the left side of the screen.
Then in the lower, right corner of the screen you can see the temperature scale.
0_1537039530445_Windy - Change F -C.jpg
Simply click on the °F to change it to °C or vice versa. It saves to the cloud and will also change in apps.