I can confirm that I have the same problem. Well, not really a problem, as I’ve never used this setting before. But having a sound notification for CapLock seems like a valuable thing, so I decided to try it. Anyway, doesn’t work, just like the OP says. The sound does play if you click the test button, so it’s not like the sound file is missing. And the pop-up notification also doesn’t work, so it must just not be noticing the key press. I’m on 12.3 64-bit KDE 4.10.3.
I just found out the problem. In addition to what I have done above, you need to go to configure desktop->accessibility->Tab ‘modifier keys’->Tick the last line “use KDE’s system notification mechanism whenever…”
I don’t remember I had to do this second step when I configured the other suse a few months ago. Maybe it’s some new change. But it is not logical and it should have notified people when the first step is set.