The "power" light only comes on for a few seconds when you first turn it on to verify battery state, then it stays off. If you press the power switch it should briefly come on. It will flash if it is not paired with your computer bluetooth. It is not illuminated in normal operation.
No ideas on the caps-lock key, it should illuminate when the key is pressed, and go off when pressed again. Is the caps-lock function working normally?
-howard