OS X turns off the delay if you map that key to something else. The only workaround I've found in Linux is to force the LED on with setleds so that the hardware thinks it doesn't need to enable the delay.
Not for me - I've had two Macbooks in the last two years for work, and both of them suffered this problem, which makes developing in Vim super annoying (I remap Caps_Lock to Esc).
