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.
Someone mentioned that you can make your computer beep when you hit Caps Lock. Here's how--How to set a computer to beep when Caps Lock or Num Lock key is pressed: http://support.microsoft.com/kb/2655348
And the person who said wireless keyboards can't do caps lock is spreading misinformation.
Logitech wireless keyboards generally do not have Caps Lock/Num Lock/Scroll Lock lights because they drain battery.
INSTEAD, you need to install Logitech SetPoint: https://support.logitech.com/en_us/product/3131 This is software that, among other things, displays an unobtrusive semi-transparent prompt on the screen for about one second, whenever an appropriate key is pressed (such as Caps Lock, Mute, Volume Up/Down, etc.): http://i.imgur.com/GvqznUR.png
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.