Hi sangjin722, sorry for the late reply... been going through older unanswered posts...
Indeed, there should be no differences between the two methods (insert window into ceiling or create a ceiling "around" a window).
A few things to check for:
1. Make sure the surface normal of your window (and all surfaces for that matter) is pointing upward in your second model (press Crtl + F9 to check your surface normals) - if it is pointing down, it will invalidate the results.
2. To be entirely comparable, make sure the two zones are not turned on at the same time, or use two different .eco files.
3. Double check that your windows material is the same for both model.
4. Obviously, the separate skylight should be on the same zone as the rest of the zone.
I hope this helps bring some light on your issue...
Let me know if you have more questions on this topic, otherwise please accept as a solution so that others can benefit from this information.
Cheers,