Then you should have no problem.
Your problem is I believe that you are trying to place the windows in the Large wall Segment when you need to use default room segments.
The large wall segment has some of problems associated with it and is not designed to work with window segments.
Windows are normally placed in buildings - buildings inside FPSC are built using room segments or prefabs which are themselves made from room segments.
You need to understand how FPSC works and follow the rules or you will encounter all kinds of problems.
Try placing the windows in one of the room segment walls seen in your screen shot and it should work fine.
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