But only when they're actually doing something. If they aren't actively being used, they aren't using power. Saving power isn't about not doing something the user wants to do.
And Win32 is bad at this. It encourages background processes that just sit around periodically polling things for updates. It encourages the use of timers, waking applications up every now and again rather than only when strictly necessary. It even broadcasts messages to every application (waking them up to process these) to tell it nothing has been happening for a while so it wants to start the screensaver or turn off the monitor - which is pretty much exactly the opposite of what you want.
For it's day, it was fine but it's getting very long in the tooth and it doesn't follow modern OS principles about the best way to conserve power and effectively manage multiple tasks.