The problem is “for a given app”. If I want to switch back to the previous window, I have to use a different shortcut depending on whether that window was from the same app or not. Similarly, if I want to switch back to the window before that, I may have to first use one shortcut to switch back to the other app, and then use the other shortcut to switch within that app. If the windows represent documents, this roughly means that when switching between documents, you have to use a different shortcut depending on whether the type of the document you’re switching to happens to be the same or different from the one you’re currently on. This isn’t really intuitive, and arguably entails more cognitive overhead.

I agree that a lot comes down what you’re used to, but there are also good reasons to prefer one approach over the other.