I see other Cougars with what looks to be that same slide size, shape and location just in a different floorplan, with windows in the slide unit so can't believe it couldn't be done without affecting the integrity. Most slide units have windows?
I also wouldn't be concerned about leakage - it's not like you'd want existing windows removed for that concern, the installation is straightforward as is the testing of the seal.
And yea, window coverings. Curtains. Done.
However we toured the unit yesterday and it just didn't fit us. In addition to that back bedroom just feeling claustrophobic without more windows we were disappointed in the storage back there for kid's clothes (we're full-timers, not just camping).
We didn't like how the kitchen was arranged with the only drawers around the corner, no smaller drawers for silverware, and the only outlets on the underside of the top cabinets where the wires - if they reach at all - would be dangling all the time.
We looked at loft models but our kids are adult-sized (boy is 6') and the rooms under the lofts didn't have enough headroom. Our current trailer has a small bunkhouse they can't stand up in so we are trying to change that.
We really wanted to like the Cougar but ended up finding a Wildcat that suits our full-timing needs better.