If it were to rain in that window they could get too wet and have mold or mildew problems. Moths can get through screen and I have heard they can cause problems in a meal worms bin. Mice are really attracted to meal worms but if it is covered you may not have a problem.
Those are the only concerns I would have other than direct sunlight, which they do not like.
I can attest to that, lost my whole colony in just 2 days to a mouse. My bins are covered now and not w/ screening I drilled a hundred or so holes in the plastic locking lid w/ a small drill bit.