While it can be done Profile Manager is not the best way to go. It is better to model the unit with slabs, morphs, etc and then Save As a window type library part. There is a fairly good step by step explanation of this in the GDL Reference Manual.
If you must use a profile the trick is to make it a beam and set it perpendicular to the wall. The intersection priorities will have to set properly for this to work and the only way to make the glass, sash and jambs different depths is to make them as separate beams, so I still don't recommend it.