We use to caulk all sides of all windows. We even had details showing how to "caulk" and "back caulk" underlayment (building paper) onto the window or door frame. Now, two things have changed: 1) the use of peel-and-stick tape, and 2) understanding that moisture that gets "in" needs a way "out".
For new installations, peel-and-stick tape (you can find it in 3" or 4" widths) makes an easy way to make a positive seal against air AND moisture on all sides of the window. However, caulking is still required, but only on the jambs and sill. The industry's new position is that the moisture that gets behind the siding (we know all siding "leaks" that's why we install a moisture barrier) needs a "path" to escape. So now we spec the siding is to be installed on a moisture barrier with a small vertical groove that holds the siding out from the wall (about 1/16") and allows water to run down and out of the wall. This keeps the siding from rotting from the back side. The jambs and sill are caulked to seal up joints and keep the space as dry as possible. However, no caulking is applied at the head so any moisture accumulated above the window has a place to escape, (run out.)
To prevent air infiltration, we seal all edges of the moisture barrier, (I.e.: wall-to-Soffit, outlets, etc.)
For existing windows, we use the same method, except we will add a piece of head flashing and seal it to the moisture barrier with peel-and-stick tape. (Usually requires removing some siding...not easy.)
Remember, all caulking has a life expectancy. So, plan on some re-caulking in the future.