A rectangular slot provides better security against outside attacks (both natural - asteroids, debris, and man-made - lasers, missiles, kinetic weaponry), compared to a wide circle. Less of an opening, and the open area is not distributed uniformly around a center. The station rotation further provides a reduction of "open window" towards the inside, as with anything slow-moving, you'd either have to aim for the very small center that always stays open, or time your impactoid to match the slot's angle at the point of crossing.
So, in short, rectangular opening is more secure for the station.