I guess you are sharing the physical display. You need to add option ctrl:swapcaps to client as well as server host.
Check also keycodes on both hosts:
xmodmap -pke | grep -w “Control_L\|Caps_Lock\|37\|66”
With keys swapped, Control_L has code 66 and Caps_lock has 37.
Try also xev test tool to get more information.
If nothing helps, please send client side logs to issues (at) nomachine (dot) com