None of these are examples of modes, at least not as the term is used in the context of user interfaces. (See https://en.wikipedia.org/wiki/Mode_(computer_interface)#Defi... for more information.) Modes hijack the entire behavior of the application until the user switches out of them. Windows and menus aren't modal unless they block all other input until the user deals with them.
On the other hand your last example, the CAPS LOCK key, actually is modal; once it's engaged, everything you input is going to be capitalized until you disengage it. You will also notice that the CAPS LOCK key is a common source of user problems in tasks where capitalization is significant, like entering passwords; and that for this reason there are frequent calls to remove it from the standard keyboard layout.
Ditto the multi window scenario. You have to actively change focus between windows (often between windows in the same application), until which time the application doesn't respond as you expect it to.
Another great example: spreadsheets. You're in one of two modes, editing a cell or moving around cells. Often without great feedback of which mode you're in.
Modal interfaces are everywhere.
Not to mention your OS is full of modal interfaces. "Why can't I type?" "You have a menu open." "Why can't I type when my cursor is over this window?" "You have a different window as your focus." "Why doesn't space pause this YouTube video?" "Because play wasn't the last button clicked." "WHY ALL CAPS?" "Check your capslock key."