> I think it works on Mac OS too

Indeed, same on Apple's "French" keyboard layout, unless you select the "French (numeric)" one, in which case caps lock produces numbers. Also, ` is a dead key, as is ^ and ¨, which works with caps too, but there's no dead key for acute accent (é).

Other bits of trivia:

On macOS, the numeric keypad (if any) is always num-lock'd.

The Apple "French" layouts are vastly different from the PC ones (also available as "French - PC"), relying on visual symbolism for extra glyphs which makes them (sort of) easier to remember:

    option-n is ~ (which turns out to be a dead key)
    option-l is ¬, option-t is †
    option-shift-l is |
    option-( is { and option-shift-( is [
    “smart” ‘quotes’ are on " and ' with option and option-shift
    there are ligatures too: shiftable æ œ fi on option-a o and g
    question and exclamation marks are reversed with option too: ! -> ¡ and ? -> ¿
    option-d is ∂ PARTIAL DIFFERENTIAL, option-shift-s is ∑, option-m is µ, option-f is ƒ
    now guess how you do: © ™ ®
    £ gives # when option'd (even though there's a dedicated @+# key)
    shift-- is underscore, option-- is en-dash, option-shift-- is em-dash
    similarly, there's also (grouped per physical key: no mod, shift, option, shift+option):
        < > ≤ ≥
        = + ≠ ±
        : / ÷ \

You can use the following link (in french) to be able to do it on Windows:

http://chrisbertrand.net/fr/articles/clavier_fr_esp_maj.html

I didn't know about the caps lock method (I always have it remapped to ctrl) but still, it's more like a workaround than a true solution IMO. Using caps lock to capitalize a word doesn't seem very pleasant: "Étant donné..."