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I've been doing remote desktop connection to work via my Mac for nearly two years now, and every so often I'd find that the Mac and Windows computers' caps lock status would mismatch. To type in normal case on the Windows connection I'd have to turn caps lock on for the Mac. Finally I did some searching, though it was difficult to find a set of search terms that worked: I discovered that the same problem exists on VMWare but the solution I found for that didn't help: it required using a menu option that RDC does not have.

However, in a blog post also originally about VMWare, I found the answer.

Microsoft applications can toggle the capslock for you. When MSWord (or Outlook, or whatever) autocorrects hELLO to Hello, it also toggles the capslock. However, when using a remote connection of whatever sort, that toggle instruction is not passed to the Mac. So from then on, your capslock settings are out of sync.

To fix it, you have to force the Windows capslock to toggle again. You can force another autocorrect, or just use the Onscreen Keyboard.