Shades can help with privacy, but what if you want the privacy at the same time you want to be capturing heat? And if requires active control --- well, that's by definition not passive. Interestingly, the new movement in high efficiency houses is frequently for low solar gain windows: well insulated windows with special coatings to admit less heat while still admitting light.
From another standpoint, gigantic expanses of windows are rarely the best way to build a pleasant room. As well as being a rare crossover between Computer Science and Building Architecture, Christopher Alexander's "A Pattern Language" has lots to say on this. Some excerpts here: http://kk.org/cooltools/a-pattern-language/
Which is to say that opaque heat-gathering walls serve a purpose that is separate than that served by windows. Both have their place, and they don't tend to replace each other directly.