Okay! This could be an issue with how your walls are placed or where your roof is, if you have one. Try cycling through no walls, half walls and full walls while placing the windows, then R1 and L1 to switch between single and room placement. You could also try just building a square room an seeing if it will let you use room placement on that. If the game's not letting you switch at all, I'm not sure what is wrong, but I know there was an update released that fixed some of the issues in build mode, so you could make sure you've installed it.