I mostly work in other Smalltalk environments than Pharo, like VA Smalltalk. It has native windows and so the ability to switch between windows using alt-tab is there. I must admit that there is a certain threshold in the number of open windows when this is not really helpful any more. I tend to hit that number pretty fast in a typical Smalltalk coding/debugging sessions.
Things have changed in Win 7, because there I can use the window manager to close the windows right in the window switcher. That makes perfect sense if you have 15 inspectors open, none of which shows current data or instances any more. Or if one of them does, I can't decide which one ;-)
So sometimes I wish for features like "close all windows of this kind" to kill all inspectors, for example.
What I want to say with this that I am not really using alt-tab to switch between windows, but rather to kill a few to come down to a sensible number ;-) But I understand why you miss it. For Pharo, there is a special problem: it is its own windowing environment, so it should probably better not use the O/S' key combination to switch its windows, right?