An AC mentioned this not being the case for them, and it's because of a setting that had its default changed at some point.
To find it, right click on the desktop and choose "Personalize." (Or open Settings, which is not the Control Panel, and choose "Personalization." Do not search for "Personalization" in the Start menu because that will find you the Control Panel's version of "Personalization" and not the Settings version which what you want. Windows 10, everyone.)
Anyway, choose Colors. If you opened the Control Panel version anyway, then click on Color and it will open the Settings app to Personalization, Colors for you. Because Windows 10.
In that screen, scroll down below all the accent colors, and find "Show color on Start, taskbar, action center, and title bar." Turn it on.
From now on, focused windows will use your "accent color" and unfocused windows will remain gray.
Except for Firefox, because Firefox ignores this setting. Also the Settings app itself, because I guess Metro - er, ... whatever they're calling it now apps ignore it as well.
But it will make the majority of windows more noticeably focused.