Highly preferred, both for aesthetics and practicality on normal staggered keyboards. Would I refuse to buy a set because it didn't have a stepped Caps Lock? Probably not, but it would be a deterrent. I usually remap Caps Lock to Function or Backspace, so it is nice to have those as alternatives.
Unfortunately, most stepped Caps Lock keys are not center-stem, which makes it difficult or impossible to fit stepped keys to most pre-built keyboards.
I actually reached out to GMK asking if it were possible for them to make a center-stem stepped Caps Lock key. They said they would have to make a new mold for it, but that they would be happy to do it, and even eat the cost of the new part if there was a substantial order that included such a key. Hopefully a GB runner could inquire about this for an upcoming kit so that future kits could also get center-stem stepped Caps Lock keys.