Same here. No on-screen capslock indicator on my USB Keychron V1 keyboard. I have other Keychron keyboards, so I'll have to try them as well.
But it does correctly show the on-screen caplock icon with my Nuphy keyboard in both bluetooth and USB wired modes (typing on it now).
I wonder where the bug lies -- with Apple or with Keychron.
Might be worth submitting the feedback to Apple. Maybe it'll get fixed at some point.
Edit: Caplock icon also works correctly with my Yunzii AL-71 keyboard when connected by USB. I've got a crappy HP membrane keyboard buried in a box somewhere. I'll give that a try, too, if I can find it, along with my other Keychrons.
Edit 2: I sent feedback to Apple. Hopefully someone will see it.