Windowless structures are easier to build (since a lot of Kingdom Halls are built by JWs themselves), safer, and more energy efficient.
Having said that, another reason Kingdom Halls are windowless is probably for the same reason that Kingdom Halls have chairs rather than pews. They want to look like a place of worship, but at the same time distance themselves as far away from "Babylon the Great" as possible.
Stained glass is Satanic, dontchya know?