Picking up the baby "so she could bang on the glass" just makes it even worse. Why encourage/indulge that kind of behavior? Ugh. It's never a good idea to let kids bang on windows, regardless of what they are made of. I bet it annoys the people at the hockey rink too...
As a Canadian, I'm guessing you've never been to a local hockey game! (If someone sat near the glass and went a whole game WITHOUT banging on the glass everyone would be concerned!)