We have several names for this design, frame trim, frame extension or frame fin.

Essentially it is an optional part of the aluminum windows frame, to cover the edge of the wall openings. The reason that this is an optional design is because not everyone needs it or likes it.

Here are some pictures for you to have a better understanding.

In the following picture, there are four windows corner samples,  1, 2 and 4 are with frame trim, 3 is not.