I believe there is a proof of concept evil USB device that looks like a USB key, but actually emulates a keyboard and enters all sorts of damaging keystrokes when plugged in. So allowing keyboards is dangerous anyway (although having the screen locked should help).
This is the reason why keyboard/mouse connectors should look different to USB connectors, so we can tell the difference.
Not really. By the time you make those signals provide feedback about your task rather than just whether Caps Lock is on, you'll have already accomplished your task and be into the part of the process where you're trying to download or compile some hack to use code to send something useful along Caps Lock signals. It's not a useful feedback mechanism when getting the feedback is an order of magnitude or two harder than the task you're trying to perform in the first place.
This is the reason why keyboard/mouse connectors should look different to USB connectors, so we can tell the difference.