I still have no clue where this feature is. (banning notes to other mods).

It's right there on the first page that comes up after logging in:

I mean the new feature to leave notes when banning someone.

Go to management, manage members, search a member, and hit the button then click edit profile. On the first tab, there are two buttons in the warn field - one to allow you to view all notes, and one to allow you to leave a note.