Hi Jonathan,
One of the possible reasons why you're experiencing issues with turning on the LED lights for the Caps Lock, Num Lock, and Scroll lock keys on your device might be due to an incompatible keyboard driver. For initial troubleshooting, we suggest that you run the automated troubleshooter for devices and hardware. To do so, visit this link, click on Find and fix problems with devices and hardware and then follow the prompts.
If the same issue persists, we suggest manually installing the latest keyboard driver for your device. This article published by Andre Da Costa will walk you through on how to download the latest driver from your device's manufacturer website. Follow the steps under How to find and download drivers from the manufacturers website.
Update us with the results.