There is only one sleep window, why not allow people to add more than one? e.g. some people like me may also want to track naps.
You would have to be running their beta firmware. If you're using mainline firmware it may not ever be a feature or at least not for a while. Beta, if you're not aware, is a pre-release version of software that the engineers put out generally on a limited availability to those who wish to try out new features and give the engineers feedback to help them work out bugs and kinks in their products before it becomes part of the official release that gets rolled out to everyone. You have to opt in to the beta program and install the beta version to get access to that stuff. Beta releases are likely to have more bugs than mainline versions and in order to revert back to the mainline version you have to completely wipe your watch of all data.