FYI, wireless keyboards will not have a caps lock, num lock, scroll lock lights. The reason for this is that the computer actually sets these and all wireless keyboards are tranmitters and not receivers so it would never know. If they set them up to receive from the computer, it would be a huge drain on the battery.
I know this post is old, but just in case someone else stumbles on it looking for a wireless keyboard with a caps lock / num lock / scroll lock indicator, check out the Logitech MK710 keyboard/mouse combo. It has an LCD screen at the top of the keyboard. So far its been in operation for 7 months with the same battery, but the advertisement states 3 years on one battery. The receiver is the tiny micro usb too. Here's a link. http://www.logitech.com/en-us/product/wireless-desktop-mk710?crid=27
It doesn't. No light for CAPS, NUM, F-Lock, Scroll Lock. It's a huge oversight and is driving me nuts. Instead, it flashes the change up on your screen. There are plenty of game modes that conflict with it. Plus, you can never remember what status you're in after continuous use so you have to experiment with it.
Yes, it appears momentarily on the computer monitor when the caps lock is enabled or disabled. To get this feature, the software CD supplied with the keyboard needs to have been run and its software installed.
I tried Logitech, that's a nightmare. So I have emailed Amazon customer service since they are acting as seller. I've put a link to this discussion in my email to Amazon. Buying something should not be this hard.