Caps lock works only on letters, shift lock on everything that has a different meaning when shift is pressed, so also the numbers, symbols, function keys, etc.

Yes. On a physical typewriter, the shift was raising the whole typing carriage to get to the lower part of the striker (I don’t know the right vocabulary) to hit the ribbon. It was heavy. So to do several in a row, a shift lock was provided. Because of how it worked physically, it was indeed shift lock rather than caps lock.

I guess someone decided “why not ‘shift lock’ just for letters?”