On a ThinkPad (maybe other notebooks), NumLock shares a key with ScrollLock. You select Numlock by Shift-ScrollLock. CapsShift doesn't see the NumLock. I'm guessing that it comes in looking like a Shift-NumLock.
Similarly, but less importantly, CapShift doesn't see Shift-CapsLock.
Windows treats both Shift-NumLock and Shift-CapsLock as though they were unshifted.
Thanks for the great gadget -- Vincent