Windows 10 also allows you to add certain information to the lock screen.
How to Add or Change Windows 10 Lock Screen Apps. The key works, in that the light comes on, but in whatever application is focused at the time, the text does not change to upper case. Re-Launch the app and go to General > Reset and close apps after screen lock has stopped Reset all Settings to. After you change the lock screen on Windows 10, you can press Win + L to go to the lock screen to check if you like the background image.
There is an issue with changing between upper and lower case using the CAPS lock key. I am not sure when this issue started (out of the box or after 3rd party apps installed).