All,

Thanks so much for your input!
First of all, this is not an NVDA-specific issue. Caps Lock does not work with Narrator either.

When I configure NVDA so that Caps Lock is not used as an NVDA key, Caps Lock works just as it is supposed to do: when Caps Lock is pressed once, NVDA tells that caps Lock is on and all typed letters are capitalized.

I have not yet tested to have another keyboard connected to the machine itself; I just forced it into Keyboard Help using the Remote Access addon. I set up a connection between my older Lenovo and that new Lenovo Miix and pressed Insert+1, just to be able to explore the keyboard properly.