I look at some big military submarines of the Zwaardvis class and other kinds and see that they have glass windows on their sails. Isn’t that a major area of structural weakness, when facing the immense pressure of the ocean’s depths?
I think you will find the windows are in the unpressurised area of the sub which floods when it dives. The windows are only used when the sub is on the surface.
What Princhester said. The sail of a submarine is not subjected to a pressure differential.
Makes more sense than a screen door on a battleship. 
While the answers for military submarines is correct, don’t forget that the true deep diving sub (like ones that went deep somewhere for 15 minutes in 1960) have windows that can stand the pressure. They’re like a foot thick and cone shaped to distribute the load, but they are there.
And I have read that if they do fail, the pressure will drive the broken parts clean through the back of the sub!
They do have screen doors for subs … [they go over the hatches so someone can’t drive by and toss a grenade in.]
[URL=“http://www.pinterest.com/pin/create/extension/”]
How many grenade attacks on submarines have there been?
And thus began the nuclear armageddon that wiped out human life on the planet earth – with five grenades and a submarine.
Proof that the screen doors are effective.
Funny you should ask
(YouTube video of Anti-submarine grenade launcher.)