All parts print easily without supports, except the main rod. Once you remove the supports, make sure that the cylindrical part is smooth.

To assemble this wind vane, simply stack the parts on top of each other. Double check the orientation of the cardinal points before applying glue or epoxy.

The pointer can be installed in two orientations, both work, choose the one that you find visually pleasing.
The pointer is available as one part (need supports) or to separate parts (no need for supports).

Added a few alternative options for the base which can glue or screw the wind vane in place.