Referring to Python 2.7 running on Windows (7/8): 

At the interactive interpreter, if either 1) Caps are Locked OR 2) <Shift> is held while an alpha-character is selected, the character is output and displayed as uppercase, as one would expect. However, in Python 2.7, when Caps are Locked AND <Shift> is held while an alpha-character is selected, the output is still uppercase, when it should be lowercase.

This behavior seems to be limited to Python 2(.7), and only when Python is run interactively using the Windows console. When Python 2.7 is started through Cygwin using mintty on Windows 7/8, the behavior is not reproducible. The same goes for IDLE, as well as when running python interactively on Ubuntu. The behavior is reproducible using IPython when run in the standard Windows console, but is not reproducible when Python is run using the IPython QtConsole.

To summarize:

-----------------------------       -------------------------------
AFFECTED                    |      |NOT AFFECTED                 |
------------------------------      -------------------------------
python 2 via cmd (Windows 7/8)     python 3 via cmd    (Windows 7/8)
ipython via cmd  (Windows 7/8)     IDLE python 2 & 3   (Windows 7/8)         
                                   python 2 via mintty (Windows 7/8)
                                   python 2 via bash  (Ubuntu 14.04)
                                   ipython qtconsole   (Windows 7/8)