This is one of the things I'm not a fan of in Mac OS. CMD + Tab cycles through applications, but not windows within the same application. You can cycle through windows of the same application with [CMD + `]. There are some third party app switchers as well that you could try.
Wow, thanks for that. I never knew that command-digit worked that way. I might not be a typical user, though; my work is mainly done in terminals so the keybindings I use most are those for zsh, tmux, vim, etc.