Condensation on my windows but no water is being collected by dehumidifier?

Condensation can form when a surface is at the appropriate cold temperature. 

If your indoor temperature is, for example, 20°C with an RH level of 35%, the dehumidifier would stop dehumidifying because the air is cold enough. 

Hence when the surface temperature of the windows drop to under 5°C overnight, then condensation will occur. 

This is normal, and a dehumidifier may not help as it is dependent on your window glazing.