why dont u use tor bridges like meek-google or amazon ?
1. Am I doing something wrong?
why using windows ? Microsoft so ****** up company regarding anonymity/privacy.
use linux e.g debian.
2. What threats should I be careful about when using Whonix this way?
directly with whonix i dont know because i didnt try this. but the mechanism as entire one = not recommended.
also i have talked with patrick about privoxy and i think u should read this:-
3. Is there anything I can do to improve my safety or/and anonymity?
read read read. there was whonix wiki but i dont know why it has been disabled to be publicly shareable. but u can read Tor or Tails documentations and every other projects related to them for e.g debian. because how to stay safe is BIG question which no good direct answer u gonna find from anyone.
(read whatever parts u find them interest u)