Windows look different in different countries. I would prefer the mdi:window variant. This resembles how windows look like in my house, also the opened and closed styles are much easier to differentiate. The regular mdi:window is a US-american window.
For each window, I have to create a template sensor with an icon template, just to make use of the window-variant icons.
I would love to see a setting somewhere to either customize open and closed icons at each entity, or maybe even a global setting somewhere…
I would love this feature, I almost created the same “What the heck?!” post here 
The icons are not provided by the Home Assistant project. We use a the icons provided by the Material Design Icons project.
You can request icons here:
https://github.com/Templarian/MaterialDesign/issues
If they add icons, they will show up in HA 
Closing this WTH, as there is nothing the HA project can do to resolve it.
…/Frenck