and in convection, at what point are photons being exchanged?

How about in conduction?

I’m pretty sure both of those are just ripples of heat in atoms & molecules spreading to nearby atoms & molecules via more nano-mechanical means, with the former case having that amplified by the fact the atoms & molecules are in motion at a larger scale.

Loosely couple two identical oscillators and excite one, and the second will move as well, no photons needed. At a nano scale, that is how conduction works. And again, convection adds to that the fact that the oscillators can freely move around each other