I always reconfigure my Caps Lock as a second Control key. I never need or want capslock in the first place, and I VNC in to Linux systems frequently. It's very useful to have a home-row Control key when piloting Linux.
I've been doing this so long that I always get screwed up when I try to use a Mac that hasn't had caps lock configured as control.
@fooferdoggie This macOS feature should've been working all along, it's been around forever and it's always worked for me. So I wonder if you've got a broken config file, or something along those lines. Seconding what
@Cmaier suggested - create a second brand new user account, log in to it, and see if caps lock remapping works there. If it does, you know you've got a problem with your migrated user account.