It bings a whole load of complications with it. Just look at Le Mans cars.
A closed cockpit creates heat, which means Le Mans cars are mandated to run AC in closed cars. This is extra weight and systems that they will need to find space for in an F1 car.
Then there is the curved window. It can distort your vision out, and reflect light in all sorts of odd ways. I can imagine this will be a nightmare for places like Abu Dhabi and Singapore with the low level lights.
However, ignoring these things, if you look at the high sidepods and low seating now in F1 cars now, fitting a canopy wouldn't be that difficult, and the safety aspects are obvious.