I have been angry about this too.
And I've been using mac keyboard before actually using a mac and I can say I got this problem on my windows computer too, using apple keyboard.
In fact, I got used to press caps lock several times while keep an eye on it to see if the lights are on.
Some time ago I had to rehabilitate my computer to use netBanking because I typed 3 times wrong password (lack of caps), so it's a big hassle.
I'm glad I found the solution here, and, until now its working.
PS: I had this problem either on my macair built in keyboard, as well in the external USB apple keyboard. As I stated im my response, I also had this problem in my Windows PC, with apple keyboard, so it's weird that tweaking System Preferences can solve the problem. Later I'll try using it on the PC to see if the problem remains.