macOS used to present that modifier keys dialog as a sheet, visibly attached to the parent window and not in any way shaped or decorated like an independent window, so there were no false signals indicating that it might not be a modal dialog box. The newer trend of shadowing everything except the modal dialog does a better job of indicating that the main window content is temporarily unavailable for interaction, but making the dialog itself appear but not function like a separate window is a step backwards in usability.

(And of course, modal dialog boxes of all kinds are used far more often than they should be. They're not always the wrong choice, but more often than not they're a symptom of poorly thought-out UI design.)

"you might be" does not mean "you are"