Makes no differenceNo its a two storey extension on to an existing two storey detached house. Means of escape windows are not feasible in the new room.
The three other bedroom windows do not have escape windows, but they are existing and not being changed.
If there was no protected staircase there in the first place, there is no need for one now if the storey levels remain the same.
Removing a wall is not making anything worse, and requires no compensation.