It's more natural to say there are windows "in" the building than "on" the building, no?
Agree. "On" suggests they is not part of the building. Maybe someone has stacked up a pile of windows on the roof or something. I've reported it.
Depending on the context, both "in the building" and "on the building" would be natural in English.
Large windows is jó ... nem csak big windows
Ugyanez a problémám nekem is.