I'm not familiar with this particular keyboard but I suspect LEDs would probably drain the battery too fast.
But what are these two little grey ovals to the left of the on/off switch? Not LEDs?
I agree, no caps lock indicator is a pain. Some computers flash an on-screen indication when you press caps lock but it's only transitory. Having been annoyed by a very inconspicuous caps lock LED on my Logitech keyboard (K270) and also with the lack of a physical volume control on all modern laptops, I came up with my own solution. See https://www.instructables.com/id/USB-Vol... - easy to build, cost a small fraction of what you paid for your keyboard, and I'd be lost without it!