The parent comment is (slightly obtusely) talking about "UWP Apps", which are installed from the store and have mobile-style "sandboxing". Normal Win32 applications can of course use SetWindowsHookEx() and the DirectDraw screen functions to take over your screen.
I have AutoHotKey and ShareX. The first reads keystrokes from anywhere, and the second takes screenshots from anywhere and anything.
It's pretty clear that Windows applications most definitely can do that.