One important thing to remember is that modal verbs, in modern English, are tenseless.
We use [modal + have + PP (third verb form)] when we want to give our opinion about a finished action, as in your example,
"He should have given us some extra time for the exam" = In my opinion, he didn't give us enough time for the exam and it would have been a good thing if he had done so.
What's most important to remember is that each modal can have a number of different meanings depending on the situation, even upon the intonation, or the accompanying word choices.
If you have more questions, and I can't imagine that you wouldn't, as the modals are tough to understand, please feel free to ask.