This sounds like a bug. You should indeed be able to escape out of the window. However, this has to be after you have 'completed' the room. Were you able to solve the room's puzzle, after which this bug occurred?
Viewing post in The Long Road and the Forest - Chapter 1 & 2 comments
Okay, I can now confirm that clearing the leftmost of the two ... blocked objects in the room makes the window work correctly. It's only behaving bizarrely before that point -- which is to say, there's no in-game suggestion that you can't use the window yet. It tells you there's an exit there, acts like it should be an exit, and just doesn't work, before that puzzle is resolved.