With some calculations and what I remember from my physics lessons, a sound wave can go through something if the wave length is longer than the obstacle thickness.
So this sensor emits 40khz soundwave, so if i'm not wrong a wave length of 8,2mm.
This would mean normal sound (hearable) would go through obstacles of more than 2cm thickness. The glass of a window would be no problem for sound to pass, horrible vision. If sound is able to pass depends heavily on the material (obviously) and a damping of some factor is always to be expected. A 1mm plastic part is almost perfectly reflecting the ultrasonic sound my sensor is emitting, so your's won't be much different.