Is it necessary to paint over window glazing?
The product I most often use for glazing wood sash windows (DAP 33 Glazing Compound) must be painted or it will shrink and pull away from the glass.

Unfortunately the stuff takes a while to firm up, like at least a week. If you mess with it before it skins over and firms up, it will deform. Also, because it is an oil-based product you have to paint it with oil based paint (or you can use oil based primer then paint over that with water-based paint). You should lap your paint over the line where the putty meets the glass, to seal the gap between glazing putty and glass.