I tried a very simple CapsLocker and believed, that its not working, but when I also send charachter (after the KEY_CAPS_LOCK) so tis key came in uppercase.
I also could not see, that the CAP_LOCK LED on trhe keyboard goes on.
Then I started a virtual maschine (my host is an mac-book-air) and in windows erverything worked as expected.
With other word, when MAC detects a new keyboard (in this case, my teensy 2.0) the keyboards acts completly autonom, CTRL on one Keyboard and D on the other are not compined. Only when the keys are pressed on the same keyboard. Windows is here much more primitiv.
I tred it also on a ubuntu 10.04 virtual mashine, also ther my Capslocker wotks. Just Mac seems to be a little bit smarter.
What OS are you running ?