Rob wrote in saying that he had an Energy Audit done on his house and as part of the energy tune-up, they caulked his window trim down to the wall. Yet he thinks this was a wasted effort because he put the trim on himself and it was just decorative.
In most window installations, the trim actually covers a crack that is between the drywall and the window frame. Behind this crack is usually a gap between the rough framing of the house and the frame of the window. This crack is most often stuffed with fibreglass to insulate it, but rarely in older houses was it ever sealed air tight. Hence both cold and hot air would flow through this crack despite the fibreglass. In this case, as you can see in the first graphic where the arrow is, caulking the trim to the wall will save you energy and protect your wall.
However, some windows are installed much further out, usually in thicker walls. In these cases, it is common to have what we call a "drywall return". The drywall actually has a drywall corner and more drywall goes out until it butts up against the window frame. This is what Rob had and he added window trim for decoration. You are right Rob. Caulking this trim to the wall had no effect on the air movement. You must however be sure that where the drywall meets the window that the crack is properly caulked.