Solution 1:

Open Terminal then type:

xset led

enter, and see the magical happen!

Solution 2:

Run this command in termial (ctrl+alt+t):

xmodmap -e 'add mod3 = Scroll_Lock'

However, you have to do that each time you open a session.

Therefore, I suggest you define this command as a startup application, so that it's run automatically upon login :)