A very easy way to transfer contacts from Winmo to Android is to just back them up via Gmail sync, then it automatically imports them all when you first sync up Android. It is how I transfer my contacts whenever I install new Android builds on my HD2
I know this is irrelevant since you have ordered the Desire already but just out of interest, did you ever try sticking a custom rom on your HD2 or visit a forum like XDA to resolve any of those? The problems you mentioned are all 'out of the box' issues that have long since been adressed - the HD2 on a decent custom rom is like a completely different phone. Even if you want to stay on the stock rom there are lots of SMS tweaks and alternatives and dozens of different lockscreens and options, though fair enough if you don't have the time or inclination to 'faf around' with such things then the HD2 is probably not the phone for you!