Is there actually any way to build doors? Or have I just not discovered them yet?
I just placed my first windows…
No, I’m sorry to say doors are just not in yet 
Doors are harder to develop than windows because they affect AI pathfinding and player collision, needs to be handled properly.
(Windows are just “wall-like” pieces, they are easier to program.)
Okay, then I could be searching for a long time.