As someone that came from a windows world for the first 10ish years of my career, i found this pretty frustrating too. I honestly still do. Sometimes it feels like I just cannot get to the window I want.
There is a separate shortcut to switch between windows of the currently selected application cmd + ` or ctrl + down arrow to show the windows.
So you alt + tab to select the application and switch to the right window. I personally think it's more reliable than Windows especially if I have a lot of Windows open (I used Windows for the last 10 years). On Windows I regularly switched to the wrong windows because of my fat fingers...
So i actually use these shortcuts all the time! I think im more struggling with some edge case of my multi screen setup, im not sure. I just find myself having to do the full expand of all windows and then find the one i want to get things working again.
