Indeed - and there is much confusion about this. Adobe didn't help out much when they made code points for Small Caps types in Unicode Special Characters points, from what I gather. This isn't official Unicode policy because Small Caps is considered a letter case akin to bold and italic. So a really good typeface may have a SmallCaps set. But do not expect a dead key for SmallCaps any more than a dead key for Bold.

A kickass keyboard for typesetting might have modifier keys for all these variants, so you'd press BoldLock, ItalicLock, SmallCapsLock or the old CapsLock and then type(-set) away instead of using application dependent control keys. I've never seen such a board though, and in light of the previous paragraph I doubt it'd be feasible (without problems in many apps at the least).

Again: Some smallcaps letters have unicode points. However, full-alphabet small caps points is nonstandard except in Adobe OpenType which uses "private" points for their own purposes. The ones that do have standard Unicode points are there for special purposes. Apart from that, SmallCaps is treated like Bold etc. It shouldn't be possible to make a dead key that provides a full SmallCaps alphabet I believe? Only some letters.

I didn't say that there were a Lock key for it on any existing keyboards that I know of; maybe my post was somehow unclear on this point?

Your report is strange. I just downloaded and checked both the 1.0 and beta Colemak zip files and looked at the Colemak.klc files in them. None of them have a mapping (except the dummy "~") for the AltGr+Shift Grave accent, and I couldn't find any SmallCaps dead keys by casual inspection. Please give us a link to the file you're talking about.

Shai's download page is https://colemak.com/Windows - I don't see how you could've found your file there?

WAIT!
I remember now that I overwrote that file with the SmallCaps. Then it's not about Colemak, but me.
Sorry for the confusion.