The LED is not in the exact same location on the lock switches as on the regular ones (I'm quite sure at least). You might be able to trick it into working by bending the LED leads. I don't think you would want to make the caps lock into a locking switch though, without remapping it to something else. I'm not sure it would behave any well. And besides that the caps lock led lights up from the caps lock "state" being on, not holding shift (which would be the roughly similar thing). It is controlled through the keyboard controller, which will know nothing of your changing of switches...