Hi Jerry,
That has been my experience as well; pg_rewind does not fetch the WAL files.
You can use following parameter to keep the most recent logs; i.e. a couple of hours worth. That will allow pg_rewind to work during that time frame — If it is still missing a WAL file or two you can manually copy them over in a pinch.
wal_keep_segments
p.s. I switched to using ZFS snapshots instead.