As Hwood said, lock switches have become useless with the improvement of keyboard logic.
Really? What improved keyboard logic?
The logic is really at the host. The keyboard is dumb and only lights up the LED when the host tells it to. There is actually no relation between LEDs and keys within the keyboard.
I think the real reasons they are not used are:
1. A locking switch is a different type: more expensive.
2. Locking switches are not under software control
3. No modern OS seems to support them anyway, because the IBM PC never did and the PC's way of doing things rules even if you are a Mac or use Linux or something else.
4. If you use locking Caps Lock, you can't remap it to Control and have it work.
Older Macintosh keyboards had locking Alps switches. I think the ADB-USB adapters try to emulate them somehow.
BTW. On my home-built ErgoDox, I do have a MX Lock to swap between normal keyboard and numpad layer, but that is mostly as a gimmick. I got the switch in a MX switch sample bag from 7bit.