Yes, the U value for double glazed windows can be similar to uninsulated solid walls, but is still many times higher than cavity walls with good insulation. As a general rule, the window, even when double glazed, will be the coldest surface in any room.
The other reason for putting rads under windows is to avoid taking up useful wall space elsewhere. In most cases furniture cannot be placed below windows, certainly not bookcases, wardrobes and the like.
However, as ChrisR said, there is a problem in relation to curtains which may cover the rad or encourage warm air into the gap between curtain and window. A shelf above the radiator would help deflect warm air out into the room.