Is there a way we can add a onblur event on the modal dialog.
I do not want my users to explicitly click on a button to close the dialog, instead anywhere outside the window also should do it.

You can use javascript in a script block to add a listener to get notified when the dialog has been toggled open. Then find the associated “__dim” overlay that is under the dialog and listen for click events on that.

For example, something like this:

CAF.model("#{caf:cid('dialogIdHere'}").addToggleListener(function(dlg) {
if ("show" == dlg.way) {
//attach a click listener to "__dim" overlay under the dialog
$(dlg.id + "__dim").on("click", function() {
//clicked, so hide the dialog
CAF.model(dlg.id).hide()
});  
}
});

If you would like the ModalDialog control to be improved and provide this capability out of the box, then you can make a proposal in brainstorm @ [url]https://empower.softwareag.com/Products/FeatureRequestsInBrainstorm/default.asp[/url] for consideration in a future release.