We are supposed to try to use the name that existed at the time.
For the specific example in the question, this gets difficult. Not only is there an issue regarding "Maine," but Kennebec County hadn't been created yet (it was created in 1799 from areas previously in Cumberland and Lincoln Counties) and Windsor also reportedly didn't exist yet (incorporated in 1809 under the name Malta).
We've been urged (by people knowledgeable about Maine -- see this earlier G2G thread) to include the name "Maine" in the location data for Maine places before 1820. I think that makes a lot of sense. One reason is that it avoids a lot of confusion, another reason is that it apparently is formally correct for at least some of that period.
If Windsor and Kennebec County had existed in 1789, I would use:
Windsor, Kennebec County, Maine District, Massachusetts, United States
But I don't know what to do under the actual circumstances... What information appears on the record you are using?