On screen notification for Caps Lock ON-OFF

That feature, if it's available, is in the software/driver package that comes with the keyboard.   The software is available from Microsoft here.   There are third-party programs, some of them free, that will do what you want done.

I downloaded the MMKC software from here for the 64-bit windows 8.1 system. The software installed successfully and I could open it.

Great.  So, you can use mskey.exe.  There is even a Device Information tab you could switch to for more details about your keyboard.  But I would just be curious if the Input Monitor will show you what you want:  e.g.,   CAP LOCK:  OFF  and  CAP LOCK:  ON  when you toggle your Caps Lock key?   <eg>

selected the option "Don't see your device". A message came up saying " You may be using a non-Microsoft device or an unsupported Microsoft device.

That's their standard assumption for that case but I'm suggesting that other factors are indicating that there is simply an omission.   Did you look at that other closely similar keyboard I found that is supported?  It has less functionality than yours!  So why should it be supported and not yours?

haven't tried IntelliType as I don't know what is it and where to find it.

It's mentioned on the Downloads page.  That's what they mean by IT versus MMKC.  (The alternate mouse software would be IntelliPoint, so that would explain the IP.  I don't know what they are trying to signify by ITP. Oh.  It looks like it stands for "Pro".  Who knew?)   But the intention of it is to help support older Microsoft keyboards.   Yours is newer, so I suspect that you will run into the reverse problem with IntelliType--e.g. your keyboard is not one that it would have included in its list either.  So, unless there is provision in either install for letting the user try to use an option which matches his keyboard as closely as possible, you would have to try to find a workaround with it too.

The following page has the image of my keyboard.

http://www.microsoft.com/hardware/en-us/p/wedge-mobile-keyboard

That's what I saw.  It's a terrible image.  The best I can do with it is Zoom to 159.

http://www.microsoft.com/hardware/_base_v1//products/wedge-mobile-keyboard/mk_wmk_blk_productdetails.jpg

I didn't get any case number from any of the microsoft representatives. They just kept forwarding me from one rep to another.

I would try again, at least to get an explanation for all the discrepancies that we are noticing, if not a workaround.   Your keyboard looks like it could emulate a standard keyboard without any changes.  E.g. that bottom row that I mentioned looks more standard on yours than on the Wireless Arc one.

Hmm...  I just found something that would give them an easy out.  Take a look at the Universal Wireless Keyboard in here:

http://www.microsoft.com/hardware/en-us/downloads

Unfortunately when you take its link from there, there is no software to download, only manuals

http://www.microsoft.com/hardware/en-us/d/universal-mobile-keyboard

So, they might claim that the software download on the page for yours was a mistake

http://www.microsoft.com/hardware/en-us/d/wedge-mobile-keyboard  

But that still wouldn't explain the  Wireless Arc Keyboard's  presence in the list IMO.

Ha.  Another discrepancy!  There is no Wireless Arc  in the downloads list, only an Arc and its page doesn't have a software download either, only manuals!!   So, how does an owner of a Wireless Arc discover that in fact his keyboard is supported by MMKC?

Ask them.   Point to this thread.

Good luck

Robert

No, I have Surface Pro 3, so II am running Windows 8.1 Pro

I neglected to recognize that you're running a tablet, which means your OS is 8.1 RT.  The compatibilities are different.   You can check **this Microsoft page**for features that are compatible with your keyboard in RT.  

Again, this functionality doesn't exist in the operating system, and if it's not available as part of a driver package, you will need a third-party solution.

As I mentioned before :

 I downloaded the software that is listed on this keyboard's website:

http://www.microsoft.com/hardware/en-us/d/wedge-mobile-keyboard

however, it doesn't show my keyboard and after some research, I found that although this software is listed on the webpage of this keyboard, this software is not meant for this keyboard.

Here is the list of devices supported by this software:

http://www.microsoft.com/hardware/en-us/help/windows-8/troubleshooting/mouse/supported-devices