From my knowledge, Winter doesn't know what happened in Haven (Cough Weiss getting impaled by Cinder cough) and was Ironwood and the military at the time.
So, what if Winter finds out about it? (Maybe, add Willow and Klein into that mix and Whitley).
Like, it has so many scenarios. It can be sweet bonding moment because, Brothers, they need it especially after v8 (Winter all like mad at Cinder and stuff and scolds Weiss for not looking). But it also can be angsty. Because, if Winter finds out she can also be like "I couldn't be there to protect her because I was too busy being an emotionless machine" or if it's post v8 Winter it can be "I could've lost Weiss much earlier?"
On a sidenote, a headcannon of mine is that when Weiss got impaled, all she could think in her mind before passing out was "I guess Winter was right. She won't always be there to protect me..." but if Winter ever found out she would've wished to be there to protect Weiss, ARRGH, GOOD OLDER-YOUNGER SIBLING RELATIONSHIP MY BELOVED. (Winter Schnee gives off Rarity vibes fr)