That’s actually my typical setup, but no good.
With Arch remapped (and confirmed with xev) and nxservice restarted, and the Ubuntu VM freshly restarted, the behavior is the same.
With the client-side remapped CapsLock key, inside the Ubuntu VM, when holding down the Caps Lock, presing the letter ‘a’ generates a KeyRelease event before the letter ‘a’ is registered as pressed.