JI diont have the problem, so I guess it is hardware related (??)
But, I was interested, and found this:
Control Panel. Under Clock, Language and Region, choose Change input methods. On the left, choose Advanced Settings. Near the bottom, click on Change language bar hot keys. On the Advanced Key Settings tab, select Press the Shift key. Click OK, then Save. When you're back out, press the Shift key, and Caps Lock suddenly reverts to its usual behavior.
Maybe this works with ALL the lights??
Added.
Found this on the MS forum ( fro0m MS "experts")
Before you do any changes in the registry it is advised to backup the registry and do the below.
To change the behavior for currently logged in user:
HKEY_CURRENT_USER\Control Panel\Keyboard
To change the behavior for all users:
HKEY_USERS\.DEFAULT\Control Panel\Keyboard
3. Now in right-side pane, change value of "InitialKeyboardIndicators" string value to any of following:
0 - Turn all indicators Off (NumLock, CapsLock, ScrollLock)
1 - Turn CapsLock On
2 - Turn NumLock On
3 - Turn CapsLock and NumLock On
4 - Turn ScrollLock On
5 - Turn CapsLock and ScrollLock On
6 - Turn NumLock and ScrollLock On
7 - Turn all indicators On (NumLock, CapsLock, ScrollLock)