Doors and windows can't be rotated around an horizontal axis. This is on purpose because Sweet Home 3D is able to make window holes only in vertical walls.
If you want care about the hole that a window could make in a slopping surface, don't import it as a door or window, or if it's already in your catalog, add it to your home, export it to OBJ format and reimport the exported OBJ file as a furniture without selecting the Door or window option in the Furniture import wizard.
If you want a hole, please reading the tip How to design a sloping ceiling with a window.