I thought I would reply to my own post again here, with some useful information for others later.
I've now been a couple of days at WaGaLiGong in Dulan. The town itself is small, but nice, with tourism growing in only the past couple of years, so I've found among other things a nice coffee house and an Italian pizzeria (across the bridge to the North of WaGaLiGong on the left hand side) run by an Italian windsurfer that makes excellent pizzas.
To get here from the train station, I took bus 8103. It costs NT$57 for the ride, just ask the bus driver to let you know where to get off. It's nearby the Sugar Factory, an old factory that is now used for concerts in the weekend.
The people I've met here at WaGaLiGong and in the area have all been super friendly. They rent out both surfing and windsurfing equipemnt here, and Mark offers lessons on both, and is a very nice teacher.
For (wind)surfing there are four spots North of here. You can either go in the van they have, or do like many surfers do here, and rent a scooter with a small rack on the side that can carry your board (I don't think it can take a windsurfing rig).
The surfing is excellent, IF you can handle big waves and strong winds. The winds were apparently even stronger than usual this week, but are usually very strong at this time of year (20 knots or more, I think it was over 30 knots today). I've been windsurfing for 4-5 years, mostly freeriding on relatively flat water in relatively low winds 8-10m/s (my go to sail is 9m, and my smallest is 7.3m), on a Taboo Rocket 145l. So while I can blast in hooked in and in the footsraps on flat water, big waves are a completely different beast I quickly discovered. Firstly I was on a 98l board with a 4.5m sail (I'm 80kg), which was new to me, but the biggest problem was dealing with the waves.
So in short, after spending an hour or maybe more, just trying to get on the board, and being wiped out by waves repeatedly, even with Mark's super helpful guidance, I just completely failed. I also realized that if I managed to start sailing, I might get over the first few waves, but would probably be thrown by the third or fourth one, and be washed helplessly back to shore. The conditions were just too much for me.
What Mark suggested to me is that I should get used to strong wind sailing first, with a small sail and board, on flat water, and once comfortable with that, I could try wave sailing, and he's probably right about that. I should practice and come back in a year or two.
Funnily enough, the opposite of what I thought was true. Penghu is actually the easier spot of the two. Yes, the wind may be about as strong there, but you have a lagoon between the island with flat water, so you don't have to deal with the big waves. In Dulan you've got the pacific rolling right in.
So, if you're an experienced windsurfer, that knows how to ride waves, this place will probably be awesome for you, at least at the right time of the year. The guys here, that knew what they were doing, were doing big jumps and even flips on the waves, and having a blast, while I sat in the bar and enjoyed a cold beer.