How is having an open menu that blocks input NOT a mode? Using your arrow keys will move menu items, enter will select menu items, letters will also often switch menu items attempting to find a menu item with that letter, and getting out of it requires additional clicks or hitting escape.
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.
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.