https://screencast.autodesk.com/main/details/4493e315-2e6b-4d20-b997-70e2955c7241It is lot more easier to put voids in Wall by face created by Mass forms which can be curved or inclined. Also to add glass in them is another challenge. The voids within the mass edit mode behave very unfriendly to the user. It does not allow multiple sketches to be selected together to extrude as voids, nor sketches with loop in a loop allowed to extrude. Also once voided, selecting the vanished void form by continuous tabbing and not getting enough options to further edit them easily makes the procedure tedious.
Hence its easier to do the Component..Model in Place and choose Wall category to do the voids and then add the curtain system by face and cut the system in shapes of voids created using another component model in place a void using a generic model category.
Watch this screencast to understand the procedure.