Capslock / Shift key passthrough is strange over dual RDP

I am using guac to get home.
From the guac UI, I open a full screen RDP to my desktop.
From my home desktop, I am then opening /another/ RDP session within my existing RDP session.

When I do this, typing out stuff comes out very strange in relation to the shift key and this seems a consistent fault, specifically causing issues with passwords utilising the shift key.

See text below

thIs is mE TypIng With thE CApS locK ON, iN AN RdP sESsIon
ThiS iS Me HOLdiNg dowN thE riGHT shIFT kEY
THIS IS ME HOLDING DOWN THE LEFT SHIFT KEY

I do not know the cause of this, it's a pretty obscure problem, but it's specific to guac.  It's like the way guac forwards a shift key is not persistent?