Why do magnet door/window alarms use always-on switches?
One of the design requirements is likely to be that the alarm should sound if the loop is cut by an intruder. By using NC switches the loop is continuously monitored.
With an NO scheme there is no simple way to detect someone cutting the loop. (It could be done by adding some resistance across each NO switch and periodically monitoring the total resistance of the parallel resistors but this would be more complex than the wiring diagram you have presented.)