I'm also having this problem on machines with ubuntu 8.10 (both gnome and kde environments) connecting to a remote desktop (windows 2003 server) via rdesktop. The capslock only works when I set the "-y" parameter on a simple script for the users to log them on. Although, when this parameter is set, the directional arrows of the keyboard stop working.
p.s.: it doesn't happen on ubuntu 8.04