Veja abaixo a função para verificar a s teclas caps, scroll e NUM em Delphi.

function KeyLeads:String;
Var
State : String;
KeyState : TKeyboardState;
begin
State := '';
GetKeyboardState(KeyState);
if (KeyState[VK_NUMLOCK] = 1) then
begin
State := State + 'Num Lock';
end;
if (KeyState[VK_CAPITAL] = 1) then
begin
State := State + 'Caps Lock';
end;
if (KeyState[VK_SCROLL] = 1) then
begin
State := State + 'Scroll Lock';
end;
Result := State;
end;