The key distinction here is that the MacOS menu bar isn't part of any Window, so it never disappears. Under MacOS, SOME application ALWAYS has focus, and whatever has focus shows its menu options there between the Apple menu and the right-hand icons (see below).
This is different from Windows. On a Mac, if you quit all your apps entirely, then the only remaining application is Finder, which has no real equivalent under Windows and cannot really be quit (you can restart it, tho, which is sometimes required).
Finder is how you navigate to files, but it's also the "shell" that controls how you interact with the computer -- it gives you the Dock, the menus, etc.
The area to the right, as you correctly surmise, is more analogous to the System Tray area on the right side of the Taskbar under Windows. That side doesn't change with app focus.
The Apple menu is always there, yes.
As for your final snide note, no, we're not bothered, because it's not something to be bothered by (besides, the same supposed "issue" exists in the System Tray on Windows, where background app and system level options often coexist).
Honestly, I think this thread probably MOSTLY shows that people who aren't terribly familiar with an OS should avoid making negative statements about it.