But when the wind is blowing, rain hits the mortar elsewhere on the wall.
Is the point the that other mortar / brick is continuous and static, whereas the window is a flexible item that expands/contacts with temperatures and so the sealing around it less good?
Not flexible so much as the rest of the wall is sealed by mortar and any other supplementary coating, whereas the window is set into a hole in the wall, so requires a seal all the way round to prevent water ingress, but without a cill water would run down both the wall and the window, and collect along the bottom of the frame, so encouraging damp and leaking if the seal isn’t perfect, hence having a cill to encourage water to run off away from the wall. There should also be a small outward lip on the wall above the window, or else a small cill, also to encourage water to drip away from the window. I saw exactly this problem on a Grand Designs house, with larch cladding, where allowance hadn’t been made for a small angled timber lip above the windows, and it proved very problematic, they had to cobble a fix which actually looked ok, and solved the water leaking problem.