Oh, ok. Yeah, you need windows to see, because artificial light is atrociously expensive, kinda dangerous (it's open fire), and frankly pretty bad. Doing actual work in the light of a flickering (low quality) candle is a total pain. Plus, a ton of soot, especially for the cheaper candles.
I'm not sure this applies in Warhammer, but in medieval europe you also had the believe that bad air was a major contributor/spreading vector to disease. That didn't necessarily mean keeping a window open all the time (one common believe was that bad vapors would rise during the night because of the moon), but it would certainly make them quite reluctant to live in a room with no lights.