Since convention exclusive pieces are not part of any set do they also cycle out at some point from "modern" play or what is the story with them?

Most of the Convention Exclusives are still Modern Legal. The only ones that are not are:

Wonder Woman, Ms. Marvel and the Horseman of Apocalypse. I'm not sure why, but the 2012 Con Exclusives did not retire even though they should have.

Where is that info located? I've been wondering the same thing, and when I look at the units page, I still don't see it.

2012-2014 are currently legal. I'd expect 2012 to cycle out by next summer.