Windows in closets can bring problems, for example: your clothing can fade from exposure to sunlight; moisture can seep in as well, causing mold or mildew issues. I just don't see any useful purpose for a window in a closet.

I have a window in my walk-in and and we just have a blind to lower (or not) on the window. The natural light is great when getting ready and I really like the idea of being able to open the window to circulate air to freshen up the clothes. If you have good windows, there shouldn't be any mold or problems with moisture than any other room in a house. You really don't have to give up very much storage either as we placed a dresser under the window, so it really comes down to whether you need that lower 1/2 section or not.

They are good for natural light, but not necessary.