We haven't had any squirrels quite that brave. But we've had some birds look in the window when the feeder is empty. And there's a bird (I think it's a bluejay) that puts up a fuss when I'm out there and the feeder is empty.
That's the system this squirrel has worked out with my dad... he shows up at the window, and dad runs out and puts peanuts in the feeder.
I thought the grey squirrel blur running through the house was a funny image ;~D