Hey, Hope(N forever)!!
"First of all, in Super Mario World, I don't Peach was always captive in Bowser's vehicle..." What do you mean by: "I don't Peach was always captive..." <--- Doesn't make sense.
"...I believe it's just like what happened in Paper Mario: Peach was captive elsewhere, and then Bowser picked her up for his final battle with Mario..."
Peach was held captive in her room. Like Meowrik said, they were floating, so unless she wanted to just do a nosedive off the castle and end it then and there, it was impossible to get out.
"Secondly, I remember in Super Mario 64 that when Mario reached the castle after the final battle, he looked up and saw the Power Star he picked fom Bowser, and that Power Star sorta 'transformed' into Peach. Just because Nintendo decided to make the event happen in front of the 'Peach Glass Window', does not mean that she actually came out of that window!"
Where does it start from, huh? Judging from how close it was to the window, it seems to have come out of it. If you look at the angles and the way it's coming from and going, you can clearly see that it's coming from the window.
"Thirdly, in Paper Mario itself, although Peach was stuck in her room, however, some of the people from the party who couldn't manage to escape where thrown into the dungeons in Bowser's castle, which was right under Peach's!"
And? Thanks for stating the obvious and clearing up the "Where did the guests go" mystery.
"Fourth, in Super Mario Bro.s, I do not recall that Peach was in a cage (or was under chains even)..."
Like Chupperson said, we're talking about the SMAS SMB. Plus, in the original, where would she have gone? There were walls all around her. She couldn't just stroll out (or even through with the 'glitchiness') of the castle.
"What'dya think of dat?"
I don't think, I know.
Trainman- Train Horn Man <--- I''m with stupid.