Did lightning strike damage my PC??

It's hard to say why the monitor "winks" at you without seeing a schematic of its power circuit but I'm guessing there is a circuit that detects a voltage surge and routes the power back to ground so it doesn't damage the monitor's more sensitive circuitry. A voltage surge can occur on the main power lines outside the home during a lightning storm without actually striking anything connected to your computer. A good UPS will handle this but some cheap UPSs don't handle surge suppression or do so poorly. IMO, the fact that the monitor itself is apparently handling the surge properly is impressive. UPSs typically have some protected outlets and some outlets that are not protected. That might be why the monitor winks at you if it's connected to an unprotected outlet.

A nearby lightning strike that hits the ground can get into any wiring connected to the computer. That's probably why your modem got destroyed in the first strike and that may or may not have prevented more severe damage to your computer - the surge came in over the line connected to the modem. Some UPSs have surge suppression for network and/or phone lines and some do not. Surge suppression for data transmission lines is usually handled by a separate surge suppressor. For full protection every line that goes into the computer needs to be routed through a surge suppression device of some sort. That includes phone, cable, ethernet cables, and any other hardware that might have lines connected to the outside world.

I use a separate surge suppressor as the source for the power into my UPS and the separate surge suppressor has connections for phone, coax cable, and network lines.

Yes, it's possible that a surge was severe enough to partially damage components but not severe enough to immediately destroy them. With continued use the damage becomes worse and they fail after some time.

One additional note: your BIOS may have a setting that tells the computer what to do when power is interrupted unexpectedly. I set mine to NOT restore power when it come back on because there may be more interruptions immediately thereafter - off, on, off, on, off, on, etc. - and this can cause problems. I set my BIOS to stay off when interrupted so it doesn't come back on until I reboot it after the storm has passed or power interruption has been cleared.

Corsair makes both good and poor PSUs. Look yours up in the list at the following link. If the strike came in on the power line vs the modem line and you have a cheap Corsair PSU it could have been damaged. Monitor the voltages occasionally with something like HWMonitor.exe and if you see the voltages more than 10% out of specification you should get a new one. You can also use the list at the following link to judge the quality of PSU's.
PSU tier list 2.0