I'll need to check this from a Windows machine. Caps Lock seems to work fine for me and is a supported key in SDL according to the docs.
EDIT:
After testing in Windows. I can confirm this bug. I don't have a solution at the moment, but it should be solvable.
EDIT 2:
I have read a little on the Internet and it appears that it is a SDL bug. Debian (including Ubuntu) and Mandrivia uses a custom patch to make it work. Code wise I think it is quite easy to solve, but it will require new binaries or a new SDL.dll.
I have created a new SDL.dll that allows CAPS_LOCK to be used as a key:
http://brie.ostenfeld.dk/~poul19/public_files/SDLalternative.zip