Sigh...
When I accidentally Caps Lock and type I found a warning sound helpful in the MS world... Would love to find the same option here too. Otherwise its delete and retype a lot more.
MacBook Pro (15-inch, Late 2016), macOS Sierra (10.12.2)
Glad I haven't scrapped the PC or I never would have found this...
In Accessories | Ease of Access Center | Make the keyboard easier to use / or type | Turn on/off toggle keys for Caps Lock, Num Lock, and Scroll Lock -- produces a little beep sound when these keys are toggled and when you toggle them off you get a slightly different tone. This is system wide or global.
there may ba a little Utility someone has thrown together to do that.
I remember a really old one called Tappy-type. It make manual typewriter sounds as you typed.
If you do not know what a manual typewriter is, I can explain further.
The answer is no...feature does not exist on MacBook Pro.
When in a space to enter passwords - one has a little arrow pointing upwards indicating a caps lock. Are you referring to any specific Windows apps such as Word or Notepad with the warning sound?
This web search produced several pages of likely links:
caps-lock warning sound /macintosh
Caps Lock Selected Warning Sound...?
