Windows don't do very well in unheated, unairconditioned buildings. Excessive cold (below freezing) or heat (above 100 degrees) both cause the glass to weaken over time. After a few years, the windows will begin to shatter on their own.

This isn't a problem if you're heating or cooling the building, since the windows will never get cold/hot enough to begin weakening. But it is a problem when no one is paying to run that stuff.

Cold poses another problem for windows - if the temperature inside of the building drops below the dew point, then condensation will form on the windows and drip down onto the interior of the structure, causing mold or rot.

Then there's the fact that human beings exist. Teenagers and college kids like breaking windows in buildings they know are abandoned. Squatters and thieves can also take advantage of the ease of entry/repair to gain access to the interior of the building. Getting through plywood is a lot more difficult and pretty clearly indicates to the police that anyone who is inside of the building is not supposed to be in there.