If auto-run is on, and you press Caps Lock in a menu screen, auto-run is turned off. If auto-run is off, and you press Caps Lock in a menu screen, then auto-run is turned on. So, Caps Lock is sometimes auto-run and sometimes auto-walk, and it can change from one to the other without the player's knowledge. The reassignment of Caps Lock is done outside of the Controls screen in an illogical, undocumented manner.
I see no reason for a game designer to design auto-run this way. The wonky behavior only makes sense when viewed as a bug or as an oversight.