The LED used to be there on the early PC XT keyboards.... mighty long ago...
I do not know if there is anyone with the required skills in your company to do this, but if this were my problem, I would (1) tell him he is right, that the Caps Lock LED is in a ridiculous place indeed, and (2) take his favorite keyboard, drill a little hole in the space left of the Caps Lock key, put a little green LED there, and wire it in parallel to the already existing Caps Lock LED. It might be a bit tough with modern, flat keyboards, but the older keyboards have plenty of space for that.
In this way, it would not be under the caps lock key (sorry boss, that's out of fashion since the last 20 years), but it's as close to it as it can be, and you have gone through a lot of trouble to please him. So he will be satisfied.
This requires a guy with a soldering iron for electronics, a small drill, a green LED, and some wire. No further electronic parts required.