One day I have typed in Captial characters as my password, and the web site showed this pop-up message.
The meaning is that
if your "Caps lock" is turned on, password will be wrong.I think some of people might intentionally use "Caps lock" when they type in password. But it is good to notice the users all the time.
In addition, I like the simple image that the pop-up message uses. It is instinctive.