To be honest there are some that have windows but they are very small narrow slits. But honestly the reason may fall upon their basic schematics which go back about 100 years. Kingdom halls are really based upon the meeting places of JW when they were Bible students. They largely met in masonic halls or temples.
Masonic halls have no windows because they are largely a secret fraternal order.
So their rituals were not to be exposed in the open and were highly sacred traditions. Basically JW's are not aware that their designs are still founded in this fraternal groups designs. Most JW's do not even know they would meet in masonic halls as Bible students. Bible student groups today that broke off from the sect continue in this pattern today in meeting and renting out masonic halls. There are of course psychogical reasons also.