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Sense 2 (“to behave in a manner on the verge of being dangerous, illegal, or improper”) derives from the fact that to sail an old-fashioned sailing ship close to the direction the wind was blowing from was risky because a small change in the wind direction could fill the sails and push them against the mast, potentially breaking it.
1781, , “Appendix. Secret Expedition, from 1758 to 1759.”, in J. O. Justamond, transl., The Private Life of Lewis XV., volume IV, London: Charles Dilly,, →OCLC, page 304:
As the Syrene vvas ſeen to fall to leevvard in the afternoon, the ſignal vvas made to her to ſail as cloſe to the vvind as poſſible.
1846, Arthur Young, James Brisbane, “CLOSE”, in Nautical Dictionary: Containing Explanations of Terms and Phrases used in the Building and Outfit of Sailing Vessels and Steam-ships; in Seamanship, Navigation, and Nautical Astronomy; and in Naval Gunnery:, Dundee: William Middleton; London: Charles Wilson (late J. W. Norie & Wilson); Hamilton Adams & Co., →OCLC, page 74:
A vessel sails close to the wind, when her head is just so near the wind as to fill the sails without shaking them.
1894, Julian Hawthorne, James Schouler, E Benjamin Andrews, “Second Administration of James Madison”, in United States from the Discovery of the North American Continent up to the Present Time (World’s Best Histories), volume III, New York, N.Y.; London: The Co-operative Publication Society, →OCLC, section II (Period of Fourteenth Congress. March 4, 1815 – March 3, 1817.), page 504:
American privateers were beautifully built, and modelled so as to facilitate escape rather than come into close quarters. […] Such a vessel could sail close to the wind or tack suddenly; one pivot gun of long range was carried amidships, and there were plenty of men on board.
1949, Fred W. Ellis, “Explorations and Departure”, in Round Cape Horn in Sail, South Croydon, Surrey: The Blue Book Company, →OCLC, page 206:
We scudded blithely over the sea. It was the long-boat we had. She was well-built and sturdy and a good sailer; though sailing close to the wind, it was not strong enough to keel her over too far, besides, to stiffen her, we were all perched to windward.
2016, Graeme Henderson, “The Loss of HMS Sirius, Escort to the First Fleet, in 1790”, in Swallowed by the Sea: The Story of Australia’s Shipwrecks, Canberra, A.C.T.: NLA Publishing, →ISBN, page 56:
Because the Sirius had failed to tack, the wind had blown it backwards onto the reef: the result perhaps of an unexpected shift of the wind, a shoreward current, [Philip Gidley] King's failure to warn Hunter about the current and a bold commander who sometimes sailed close to the wind.
1876, Geo P. Burnham, “How Reuben Downer Made and Saved It”, in A Hundred Thousand Dollars in Gold. How to Make It., Springfield, Mass.: W. J. Holland, →OCLC, page 198:
But he received only indifferent remuneration, in those days, and found himself to "sail close to the wind," to meet his current expenses.
We have to bear in mind that the present Conventional Tariff sails close to wind as a protection for French industry, and that anything like a serious increase would amount to absolute prohibition.
ll naturalists have sometimes to sail close to the wind to obtain specimens for their cabinets.
2008, Victor Hugo, “Louis-Philippe”, in Julie Rose, transl., Les Misérables, London: Vintage Books, →ISBN, part 4 (The Idyll of the Rue Plumet and the Epic of the Rue Saint-Denis), book 1 (A Few Pages of History), page 682:
Louis-Philippe was a rare man. […] savvy statesman, cold inside, ruled by the immediate interest, always sailing close to the wind, incapable of rancour or gratitude, pitilessly wearing out his superiority on mediocrities, skilled at proving wrong through parliamentary majorities, those mysterious unanimities that grumble quietly beneath thrones; […]
Real have sailed close to the wind in the Champions League this season, most notably when they needed two goals to survive against Manchester City in the semi-final with 90 minutes gone.