Yes - your windows need to be secured to solid wood. The loss of R-value at that blocking is minor - when averaged with the improvements you are making to whole wall assembly.
Diverting water and resisting air infiltration will make a durable and energy saving assembly.
- It is important with both windows and doors to install flashing at the head, jambs and sills, as well as
- air sealing around the exterior perimeter and spraying minimal-expanding foam around the gap between the rough opening and the window/door.
A leaky (water + air) installation will cost much more long-term than would be saved by the additional insulation.
Good luck with your project,