My setup is a 2016 15" MBP with a Sonnet eGFX Breakaway Box 350 and a Radeon RX 580. My monitor is a 4K Dell UltraSharp U2718Q connected to the eGPU over DisplayPort. Fan noise from the MBP is minimal in typical use, though it and the eGPU can get pretty noisy when gaming, FCPX rendering, etc. The new MBPs primarily vent through the bottom of the display henge, so it should be able to ventilate well enough even in clamshell mode.
Re: Boot Camp, I do use it in Boot Camp. With my model, I had to disable the left-side TB3 ports in Boot Camp to free up enough resources for Windows to play nice with my eGPU and avoid an error 12 message, so I have my eGPU and my monitor's USB hub (with a mouse, keyboard, and external hard drive for games) connected to the right-hand ports. However, I've heard this is not necessary in the 2017 MBPs due to firmware changes. Not sure about the 2018, but I'd be surprised if it regressed on this. It should also be easier to get an eGPU going with the 13" model in Boot Camp than the 15", as you don't have the dGPU there which is the source of error 12 issues, driver conflicts, etc. (In macOS, the eGPU is pretty much plug and play.)
For regrets, my only real regret is paying $700 for the eGPU + enclosure in February when you can get the same bundle for $500 now, haha. GPU prices were still high then, and $700 for an RX 580 + eGPU enclosure was a great deal when the GPUs alone were going for 600. Now that GPU prices are back down to Earth, though, I can't help but think I could've gotten a Vega for the same price now...
As far as windowing goes, I'd need to play around with it and get back to you.