The weight of concrete roofs tends to resist uplift. The high-speed whirling winds of a tornado can turn almost anything or anyone into a missile. Automobiles, buses and tractor trailers can be tumbled about. Portions of buildings become airborne at high speed. Exterior wall materials on the windward sides often are thrown into building interiors.
Missiles move much faster horizontally than vertically.
Also, many more missiles move horizontally. Therefore, it is more serious to have a wall missing than a roof insofar as protection from missiles is concerned. Missiles are a major threat to life. Fortunately, they usually are stopped by substantial, somewhat massive interior partitions. Buildings without such interior partitions can be death traps.