Exactly.
when you correctly press caps+k, caps goes down, k goes down, k goes up
and caps goes up. That's reflected in the output, or at least should be.

However, your keyboard seems to only support the true modifier keys
(alt, control, windows and shift), and can't register more than one
keypress at a time otherwise.

Seems like you got shift to work as your modifier. Great.

I think this might be more anoying than expected. If it is, then we go
another route; simply rebinding the keys that you need in the gesture
editor using, say, control shift. Nothing says that NVDA key commands
need to use the NVDA key.
You can remap current line to, say, control shift i without any problem,
and it would still give you your left shift for typing normally.
There aren't a lot of keys you really need in daily use; this might be a
better solution than losing left shift.

I also have another addon which turns on the sticky keys functionality
for just the NVDA modifier, but that might also be annoying.

I would definitely recommend returning that and buying something else.
You should be able to find something in the same price range with a
better keyboard.