Ok, see where you are going.What for me is not clear from the picture if the 'sealing' is only on the outside of the wall and placed until it reaches the window frame (left in screenshot) or if it goes from the outside to the inside of the wall and the window is mounted on this sealing frame (right of screenshot).

If it goes all through the wall I would consider to make it part of the window. If you need to schedule it you could make it a nested family inside the window family. Advantage is that you can adapt the window size to the space needed for thesealing
If it goes upto the window frame you might consider to create it as a separate family. You could make it face or wall based. Window will take care of creating the wall opening. In this case the window does not adapts its size to the sealing.
Which route is the best depend on several factors. If you only use one/few window families it can be simpler/faster to make it part of the window family (fast to model, fast placement). If you have lots of window families it might be simpler to create a separate 'sealing' family (faster modelling time, slower placement)
When creating families It is always good to think about how it will be made in real life. Is the sealing a separate product coming from different manufacturers (i.e. window and sealing) or is it coming from the same (window) manufacturer.
Louis

Please mention Revit version, especially when uploading Revit files.