The light on my MacBook Pro's Caps Lock does not turn on when I use it. However the Caps Lock feature works fine and I don't remember changing any features that would make this occur. I checked the Modifier Keys under system preferences and all defaults are set. This is a 2010 MacBook Pro with OS X Snow Leopard 10.6.7.
Pro, Mac OS X (10.6.7), 13 Inch, 2.4 GHz, 4GB Memory