Systems like this are known as colliding-wind binaries (CWBs), and they do produce some interesting effects. When winds collide, they create shocks, which in turn heats up gas. The most notable result is x-ray emission, which tends to happen whenever you have non-negligible shock heating in stellar winds; there is certainly additional thermal and non-thermal (e.g. synchrotron) radiation at other parts of the spectrum. I don't know if this would lead to significant structure formation - bear in mind that hot stars with strong winds may also generate more prominent outflows and nebulae through unrelated mechanisms; Eta Carinae is a great example.
This actually poses a problem for people trying to study stellar winds in x-rays. We can derive a lot of information from spectroscopic observations of winds - composition, temperature distribution, mass-loss rates - for simple cases when x-ray emission arises from the line deshadowing instability (Owocki, Castor & Rybecki 1988), leading to embedded wind shocks (EWS).
Magnetic fields complicate matters by forming shocks as plasma is forced to travel along field lines, and colliding-wind binaries make it very difficult to study the individual winds because much of the emission is now coming from the CWB shock front and not purely the EWS model. I don't really know how folks studying CWBs disentangle the effects - when I was working on stellar winds, we mostly just ignored all magnetic and O+O binary stars in the sample!