Not having natural light is one of the best way to attack your mental health. This building is just a bad design, and human are not made to live without natural lights.
Kidding aside... given the size of the bedrooms, I get the impression that the students aren't meant to spend much time there aside from whatever amount of sleep college students are getting these days. The rest of their time would probably be spent in common areas that actually do have sunlight. Recalling my personal experience in college, where most of my time was already spent in common areas anyways, I don't see the lack of bedroom windows as that huge a problem.
This particular dorm design also seems to allow for more privacy than a traditional dorm does.
Yes, having shared bedrooms was particularly bad for my sleep. Not sure it's a good trade for a window though.