No terminal emulator will default to supporting all of the key sequences you're asking about, because they are emulating terminals which did not support those sequences.
Furthermore, the only emulator I'm aware of which is even capable of supporting all the key sequences Emacs recognises is Thomas Dickey's xterm, and configuration is very much non-trivial (I've failed to get it working on the occasions I've tried).
(You can, however, get a subset of the extended sequences with a fairly minimal config; see the links below.)
If anyone does have a working configuration for the fully-extended sequences, I would love to know the details!
Here are a couple of related answers:
Edit: Gilles' answer in the thread Dan has linked to discusses some more recent developments, and looks extremely interesting at first glance.