Hey Kruskal, just tried CAPshift on Win7
and confirm that it doesn't seem to work as intended.
The script doesn't seem to copy the selected text to the clipboard, but rather applies the requested operation (eg all CAPS) to the current contents of the clipboard.
It might be quite easy to fix for someone who is current with the AHK language (not me).
UPDATE: On a whim I tried running the script (as opposed to the pre-compiled exe file) and it worked just fine. I suggest you download the script and either use that or compile a new exe yourself, then all should be well.