Lock indicators are driven by Windows itself. If you plug in a second keyboard, hit Caps Lock on it, you'll see the Caps Lock indicator light up on both keyboards.
Yeah, you can hack Windows to screw with the indicators, but that's generally a terribly bad idea. Here's an AutoHotKey script that sends control packets to the keyboard, but they'd be reverted the moment Windows receives a toggle from those switches and you'd have to run it again: https://autohotkey.com/board/topic/9587-keyboard-led-control-capslocknumlockscrolllock-lights/
So yeah, you can control indicators using software. This goes against pretty much every best practice that Microsoft applies to indicators and accessibility, though. No company in their right minds would allow such easy manipulation of important Windows functions; it's extremely bad practice.