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We had the same issue,
we solved it using UEM to import a registry setting during logon;
Hope this works for you?
Okay so we are using W10 1703, UEM and Horizon View 7.2 but we still don't see the indicator. I did try setting the keys you provided tmodderkolk but unfortenately to no avail.
I do see that setting within my virtual machine it just does nothing with it..
Did you guys try anything else? Or am I overlooking something here??
We are running Windows 1809 in our environment and have our users connecting via zero clients. We noticed the same thing happening on our end. We confirmed latest VM tools installed. We have gotten around this by uninstalling the keyboard on the VM, it prompts the user to reboot and installs itself again. Afterwards the Caps Locks light starts working again.
Not true solution but a workaround for now...
A shot in the dark here. I have seen the Dameware Virtual Keyboard break cap lock light. Not sure if it also impacts the num lock indicator. You can remove the Dameware Virtual Keyboard from device manager while leaving the Dameware client installed.