I know many exist but I haven't found one I like. :-\ I don't want text and I don't want tray icons. Most of the time my tray is hidden.
The ability to use any PNG of my choice for each indicator would be nice.
I was thinking something like this.

Or

Also NUM Lock needs an option to only display when disabled.
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Similar software. In no particular order.

Keyboard LEDs
kLED
Caps Lock
lock-osd
Clever Keyboard Indicator
DK:Keyboard-Status
TrayStatus

And many many more.