In the event of a crash landing, you need to be able to see outside the plane, and rescuers need to be able to see inside the plane.
Also, if it's bright outside, the window shades are down, and you crash-land, the sudden change in brightness temporarily blinds you. Those few seconds of your eyes adjusting to the light can mean the difference between life and death!
In all honesty, the probability of a lethal closed shade is extremely small. I am temporarily joining the side of the "Safety Nazis" only because I like to look out the window (view is a little better if all the shades are up), and I like sunlight, not darkness, when it's daytime!