I found some issues with the MX Lock switches related to the LED being placed off center.
Caps Lock works fine because there are several holes for the LED which are arranged every other anode and cathode, which allows for many LED positions.
See, works fine here even though the LED isn't centered. I don't think this was intentional, and it is possible because you have 2 positions where you can put the switch for center stemmed and off center caps lock. You have two pairs of holes for the two positions of the switch. What you do is that you put one lead of the LED in each pair of holes, and use one hole of the right position and one from the left.
Here is the switch I modified to fit a LED off center but with center spaced pins.
And voila, this is how it looks after you cut an extra hole and bend the leads . Remember that the lock switch has some stuff in the way, so you have to bend it around inside the switch.