Using caps lock instead of shift only comes into play once you start typing really quickly (though from a comfort point of view it's also easier to only have to press one key at a time). While I still use the shift key for capital letters, there's logical reasoning as to using the caps lock key instead of it. The thing that slows you down the most when typing quickly is making a typo, and having to time the hold + release of shift in tandem with a letter leaves a lot of room for error or forces you to slow down.
Two common errors you get when trying to type "Example" are:
EXample --> held shift slightly too long
example --> didn't hold shift long enough
I sort of see these kind of problems when I reach around 120+ WPM, mostly the first with the double upper case. Hitting caps lock is more uniform in terms of typing. Why would you do all your typing with single button presses then randomly incorporate another type of motion: press, hold and release? The question is just about whether you type so fast that press/hold/release causes you more problems than hitting caps/letter/caps.