You had a wrong sign in the factorization in $\mathbb{R}[x]$ (typo):
$$
(x^2+\sqrt{2}\,)(x-\sqrt[4]{2}\,)(x+\sqrt[4]{2}\,)
$$
is the factorization: the quadratic factor has no roots in $\mathbb{R}$, so it's irreducible.
The polynomial is indeed irreducible in $\mathbb{Q}[x]$: it has no rational root so it would be a product of two quadratic factors, but such a decomposition would also lead to a splitting in $\mathbb{R}[x]$ and the only way you can combine the previous factorization in the required way would be $(x^2+\sqrt{2}\,)(x^2-\sqrt{2}\,)$ and the factors are not in $\mathbb{Q}[x]$. Or you can use Eisenstein's criterion, which applies to $x^4-2$ for the prime $2$.
Sorry, but the factorization in $\mathbb{C}[x]$ is wrong: it should be a product of linear factors and you get them from the factorization in $\mathbb{R}[x]$.
I'll do the case $\mathbb{Z}_3[x]$. The polynomial has no roots in $\mathbb{Z}_3$, but it could be a product of two (monic) quadratic factors:
$$
x^4-2=(x^2+ax+b)(x^2+cx+d)
$$
Since $bd=-2=1$, you can have $b=1$ and $d=1$ or $b=2$ and $d=2$. In the first case we have
$$
(x^2+ax+1)(x^2+cx+1)=x^4+(a+c)x^3+(2+ac)x^2+(a+c)x+1
$$
and so you need $a+c=0$ and $ac+2=0$. Hence $c=-a$ and $a^2=2$, which is impossible.
In the second case we have
$$
(x^2+ax+2)(x^2+cx+2)=x^4+(a+c)x^3+(1+ac)x^2+(2a+2c)x+1
$$
Again $a+c=0$ and $1+ac=0$. Since $c=-a$, we obtain $a^2=1$. Well, this is indeed possible: we have $a=1$ or $a=2$. Thus the factorization is
$$
(x^2+x+2)(x^2+2x+2)
$$