The circular shape removes the need for excessive sealant around the edges and cracks. Where a square window would have some leaking around the corners, the round one does not, since there are not corners to leak.
It's long been known in nature that circular and spherical are the most efficient shapes. The distance from the center to any given point on the edge is the same, providing an equal distribution of weight upon any sort of impact. Waves could become a big problem if they broke open the windows on your ship and water poured onto your cot and papers.