This does not scale well with the number of windows, e.g. going to the next pdf open might mean cycling through half your windows. Hence you get grouping to make this simpler. Whether it should be grouping by app, by virtual desktop, by time opened, "smart", manual, whatever is another discussion.
I suppose this makes sense if you have relatively few windows that each themselves encompass self-contained task state: one terminal window with a bunch of tabs, one VS Code window with a bunch of tabs, and so on.
I've always found this rather, uh, un-simple to deal with because I both suffer from attention problems and because I tend to want to consider a whole box of windows together as a complete task. macOS's per-appbundle model, inherited from NeXTstep, isn't perfect, but it does at least get closer to what I want.
I used to write software in Delphi, and Alt-Tabbing through several forms and code windows and panels and hypertext documents and compiler error listings and whatnot was just a gigantic pain. It really, really soured me on Windows' way of doing things: I could just never get the mental model down for how windows would stack in the Alt-Tab order given my need to flip between six or seven of them somewhat randomly in the course of working on something.
I much prefer it to alt-tabbing through every single open window. I don't understand why people prefer that.