Are the walls contiguous. If not, replace the Opening Cut in the Window Family with a 2 Void Cuts (e.g. Void Extrusions) -- first one to cut the Host in the Family and the second one not cutting anything (e.g. unattached). Label the second unattached Void Cut depth dimension to an Instance Parameter, check "Cuts with Void when Loaded", and load Window Family into Project. Place Window on Host Wall in Project, penetrate other walls with the unattached void using the "Depth" Instance Parameter, and then use the Cut Geometry tool to cut the opening out of the other walls.