Apart from the fact that it is up to the manufacturer to answer such questions, not the people who bought such a thing years ago (thanks, Galaxus), it is ALWAYS up to the operating system used (e.g. Windows) or more precisely the keyboard driver (so-called under Windows) to decide what happens when which key is pressed.
Excluded from this are purely keyboard-specific keys, e.g. for any backlighting or multimedia junk, which are independent devices from the actual keyboard, but should always be explained in the manual.
Both the Shift key and the Caps Lock key are part of the actual keyboard and are therefore handled by the operating system.
The keyboard only supplies keycodes to the OS (the Knopp itself does not know what is written on it.) There these are interpreted as the corresponding character or function using a table.

In Windows there is (usually somewhere in the bottom right corner [at least that's how it used to be when I was still annoyed with Windows] a keyboard icon as access to the keyboard settings. Somewhere there, the setting for the shift key will probably have been set incorrectly for whatever reason.

Thank you very much, I have tried many tips from the Internet, including yours, but nothing changes. The Shift key works like a second Caps Lock key 🤷‍♂️
I'm already thinking about whether I'd better send the keyboard back.

If you press the shift key five times in succession, the so-called snap-in function is activated. A corresponding message appears on the screen, which you must confirm. In the Windows 10 settings under "Ease of use" à "Keyboard", you can also activate this snap-in function permanently.

Perhaps this is the problem!