The use of the definite article before the seasons is possible even when we are speaking in general terms — it doesn’t affect the meaning. “In winter” or “in the winter”. In your examples, I like to use the article, but it’s perfectly correct either way. On the other hand, I usually say “it’s winter now”, but it’s also perfectly correct to say “it’s the winter now”. If we want to refer to a definite winter, then we have to use the article: “In the winter of 2017”. Names of seasons can be capitalized, but it’s optional (a matter of style).
“Whales” is spelled with an H after the W. In parts of the UK (mainly Scotland) and the US (mainly Texas), the combination is still pronounced as an unvoiced or aspirated W or similar. “Wales”, on the other hand, is a region in the UK.
Now to the main point: In the phrase “for the winter”, “for” means something like “in order to”, so the phrase means “in order to spend / pass the winter”. It’s my understanding that the whales make the trip *before* the winter, not during / in the winter.
Also, just to be thorough, let’s point out that none of your phrases are questions or even sentences — they are subordinate clauses. That’s OK, as long as you know in what context to use them. You could say “I’ll tell you why whales go south for the winter.” Alternatively, you could ask a question: “Why do whales go south for the winter?”