I had the exact same problem. My keyboard used to work just fine, typing English, Greek and french 'naturally' auto capitalisation of the first letter of the sentence only, and with lower-case letters for the rest of the word. Yesterday when I switched to Greek language, the shift button was locked on caps (blue button with white arrow) and it only appeared when I put the keypad in Greek, in all the other languages no problem.
I tried the settings > Language and input > (device model) keyboard> *click the gear*>Advanced> Auto Capitalization suggested by one of the respondents, but as expected, this changed only the auto-capitalisation of the first letter of the sentence in other languages (which i didn't want) but had no effect on the stuck caps lock in Greek.
It's still well and truly stuck.
Bizarrely. when putting in a few words of english into my sms, I noticed that the predictive text had 'remembered' and was able to insert some previously-used Greek words, spelt perfectly in alower-case letters, or a mixture of upper and lower, depending on how I'd entered them last time.
This is new problem. It only started recently. before then, i had no problem at all when typing Greek in SMS
It's very frustrating as nothing else has changed or been changed since it was working perfectly.
Please reply if you really know how to solve this, but not if you're only guessing!