A few comments:
Am I right in thinking this is a cabled VP2? Ground loop effects are pretty much non-existent on wireless VP2 systems AFAIK. It's the connection from the anemometer at some height (and therefore exposed to electrical potential significantly different from ground potential) right through to eg a PC power supply that tends to exacerbate these rare problems with cabled stations. I know it's not worth spending time over but I wouldn't be surprised if you put your test resistors up at the same height as the anemometer that you wouldn't see similar issues.
To be fair to Davis, in 99% of cases like this with wind direction issues it IS the anemometer or cable at fault. And some users take a lot of persuading to check the cable thoroughly so I'm not surprised that there was some repeated insistence to check the cable. Unfortunately, it sounds like your case is a rare exception to this.
I have never really understood the instruction to remove the logger from the console as a test for ground loops. (Maybe there is a reason but I've yet to learn what it is.) Simply disconnecting (in this instance) the USB lead should be a sufficient test, preferably while running the console on battery power only (ie AC mains adapter unplugged) just to rule out any possibility of a defective console mains adapter.
Back in the days when RS232 loggers were more common the answer to this issue was to fit an opto-isolator in the RS232 lead. This is less easy with USB but I see that cheaper USB isolators are starting to appear on the market. (USB isolators have been around for years but they've typically been more costly professional devices.) I'm talking about something like this:
https://uk.farnell.com/olimex/usb-iso/usb-isolator-1000vdc-for-pc-laptop/dp/1795095Please note that I'm not recommending you buy this - I've never tried one of these and my electronics knowledge is not good enough to be sure that it fits the bill. But it's an example of the sort of isolator that ought to work.