A:Answer Hi Jbird,
What an interesting and good question.
You're right to raise this question. The confusing answer to your question is yes and no.
As a matter of fact, the caps/num lock does light up in my Mac setup, as well as in my Mac OS world as well as my virtual Windows environment on my Mac (parallels), but when I switch to my native Windows laptop the keyboard behave differently, here neither of these keys lights up on the MX keys itself when I press it, but instead of this it lights up on the original keyboard built-in to my windows laptop.
I get your question as I had the same concern but can tell you that the keys are in general supposed to work, but for some reasons they behave just a little different, depending if you're working on a mac or on a native windows system.
Hope this helps.