The integration of large-scale wind power into power systems has exacerbated the challenges associated with peak load regulation. Concurrently, the ongoing advancement of electricity marketization reforms highlights the need to assess the impact of direct electricity procurement by large consumers on enhancing the flexibility of power systems. In this context, this paper introduces a Distributed Robust Optimal Scheduling (DROS) model, which addresses the uncertainties of wind power generation and direct electricity purchases by large consumers. Firstly, to mitigate the effects of wind power uncertainty on the power system, a first-order Markov chain model with interval characteristics is introduced. This approach effectively captures the temporal and variability aspects of wind power prediction errors. Secondly, building upon the day-ahead scenarios generated by the Markov chain, the model then formulates a data-driven optimization framework that spans from day-ahead to intra-day scheduling. In the day-ahead phase, the model leverages the price elasticity of the demand matrix to guide consumer behavior, with the primary objective of maximizing the total revenue of the wind farm. A robust scheduling strategy is developed, yielding an hourly scheduling plan for the day-ahead phase. This plan dynamically adjusts tariffs in the intra-day phase based on deviations in wind power output, thereby encouraging flexible user responses to the inherent uncertainty in wind power generation. Ultimately, the efficacy of the proposed DROS method is validated through extensive numerical simulations, demonstrating its potential to enhance the robustness and flexibility of power systems in the presence of significant wind power integration and market-driven direct electricity purchases.