It probably has something to do with available light and identification of danger. The emergency lighting on an aircraft is quite weak. I beleive it is only required to be 1 candle power. So its dim. If the windows are open this maximise the ambient light which can be useful if you slide off the runway and it all goes dark as the flight deck switch everything off except for the emergency lighting. Also, it would help identify possible dangers out of the windows prior to opening escape hatches. I.e. don't open the overwing exit if the wing it is over is on fire.
But that's only an educated guess.