Hi,
Every game engine has it's own limitations and drawbacks, so it is always best to create something with that in mind. However from a technical standpoint, both issues can be easily corrected. In Maya, you can select your window and wall then go to Mesh -> Combine to make it on object. For objects with more then 4 faces, that can be fixed by going to Cleanup -> Fix By Tessellation -> Faces with more then 4 sides. Similar processes are available in Max.
With that said, I don't see any problems with what you have described. Your best bet is to grab an engine and try it out!
Best Regards,
Avotas