I was outside of the laundromat (the mafia son's house). I aimed my gun to "replace window." Instead of a new window, I got a solid concrete wall. Doing it from the inside gives me a proper window.

I haven't tried busting down the wall with a sledge hammer, but it should probably be looked at by the devs.

That is the way the dev's set it up. When you sell a window, a wall appears. Then, when you are ready to put a new window in, you pick the one you want in the store and buy it. An outline will appear on the wall. You'll then use a hammer to break that part of the wall so that the window will fit. By doing it this way, you can move windows from one area of the house to another one.

Yea many players get stuck on this, I mentioned that the dev's really need to add a tutorial that pops up the first time a player does this.

I kinda suspected. You point the gun and it says, "Replace Window." You would expect a window, not a solid construct. Oh, well.