Why are window functions used when calculating spectral estimates, really?
You are right that no real-world signal will have a "convenient closed form" transform. I also find the quoted sentence misleading, and in my opinion it does not motivate the use of windowing. From your question I believe that you do not actually ask about the pros and cons of different window functions, but if I understand you correctly you ask yourself why people cut signals into pieces anyway if they want to analyze their spectrum. The reason is that many real-world signals are simply too long and/or their length is not known. So you don't want to wait till the signal is 'complete', and you also don't want the complexity of processing such a long signal. So you do block-processing, which reduces computational complexity and gives you quickly a spectral estimate. When you cut the signal into blocks you have many parameters that will influence the result of the spectral estimate: the block length, the type of window, the overlap between blocks, etc. This is a complex topic but you'll find a lot of literature about it. If you have access to Oppenheim and Schafer's Discrete-time Signal Processing I would recommend the chapter on Fourier Analysis of Signals Using the Discrete Fourier Transform. It has a lot of valuable information about block processing and windowing.