Expanding on @Zacharee1 answer:
make a backup with cp /usr/share/X11/xkb/symbols/pc ~/pckeybak
then edit with gksu gedit /usr/share/X11/xkb/symbols/pc
or your favorite editor.
Find the line (22) that says:
key <CAPS> { [ Caps_Lock ] };
and change it to
key <CAPS> { [ Shift_L ] };
and the line (36) that says:
modifier_map Lock { Caps_Lock };
and change it to
//modifier_map Lock { Caps_Lock };
(which should comment it out in effect disabling the locking)
Testing indicates that the Num Lock still works as expected. Further testing indicates that the keyboard indicator lights appear to be a bit dyslexic in 16.04 on even an unmodified system. Scroll Lock indicator on at login but Scroll lock off and Num Lock light off, but Num lock on. Tapping the left Ctrl key seems to resolve this behaviour and I'm not sure if it's related to my use of a KVM switch (which is possible)
Note: Further testing shows that the NumLock indicator light is flaky even without a KVM switch and has to be tapped twice to get back in sync with NumLock If you always leave it on you can ignore the light or if it bothers you you can tap it twice to get it back in sync. Why this occurs is likely a basis for a new question...
Another simple solution to your original problem would be to simply obtain an inexpensive US keyboard and use the US keyboard mapping.
Sources: @Zacharee1 answer and analysis of /usr/share/X11/xkb/symbols/pc
and trial and error testing
You can do the first (mapping Caps Lock to Esc) but you cannot do the second.
Simple Explanation: Caps Lock is just not designed to do something when pressed.
Elaborate Explanation:
There are many types of keys. Two of them are Modifier Keys and Lock Keys.
Caps Lock is a Lock Key while keys such as Ctrl, Alt, and Shift are Modifier Keys.
It's apparent from their names that Modifier Keys modify the function of the next key(s) pressed, and Lock Keys act as a toggle switch to turn on or off some particular function.
Now, since Caps Lock is a Lock Key, you cannot have it behave like a Modifier Key without mapping it to one. Caps Lock by itself cannot function as a Modifier Key.
Best Answer
Same as tranfuria's answer but on command line: