Hi MrStevenField,
Welcome to Microsoft Community.
Thanks for your sharing.
Windows itself does not integrate CapsLock or NumLock indicators that contain visual effects.
Therefore, in most cases, the status indication of such keys is realized by non-Microsoft software (mostly pre-installed by vendors) and may vary depending on the vendor, one of the cases being the Lenovo Vantage you shared.
Just as additional information for general troubleshooting ideas, a clean boot, safe mode, or new local account can be used to narrow down and analyze whether a phenomenon/problem is affected by third-party software/services.
Create a local user or administrator account in Windows - Microsoft Support
Start your PC in safe mode in Windows - Microsoft Support
Thanks for your patience and cooperation.
Best Regards,
Kyo - MSFT | Microsoft Community Technical Support