I agree that this should be built into all of the browsers, across operating systems. As it turns out, Chrome supports (or supported it, until it regressed) it only on Macintosh.
As a workaround, you can create an extension and use the soon enhanced (starting Chrome 48 or something, I think) KeyboardEvent.getModifierState() or MouseEvent.getModifierState() to find out whether Caps Lock is on and show a message on your own.
I realize you may not be a developer and that this is a harsh workaround, but this is the best I can offer. :(