You do not need to convert an AEC Window to Editable Poly in order to apply materials. Create your window, open the Slate Material Editor, Load Library "AECTemplates.mat". Drag the Window-Template material into the workspace and you will see that it is already set up ready for you to modify appropriately. Simply apply the provided Multi-SubObject material to your window.
Note - if you close Max and you get a prompt regarding saving your modified library - say No otherwise you'll overwrite the templates library. If you want to keep what you've done then create a new library to save it in.
Max 2016 (SP1/EXT1)
Win7Pro x64 (SP1). i5-3570K @ 4.4GHz, 8Gb Ram, DX11.
nVidia GTX760 (2GB) (Driver 430.86).