You are thinking backwards. It is not for me to say why they would put a shooter there. That fact remains those are muzzle flashes and you can hear and see the gunfire, from a random taxi driver who obviously just stumbled on it and started recording. If you want answers call for an investigation, local authorities only, not FBI which means cover-up.
Many kinds of high-rise windows can be removed easily and replaced, you don't need to beak the window. In 2000, an Israeli artists' group called Gelatin removed a window from the World Trade Center temporarily, from the inside, for an art project, and then put it back. Interviewed by the New York Times, Walter Friedman, owner of Dependable Glass, which performed that service for the World Trade Center,
told the Times it is not that difficult.