In Hebrew the Caps Lock is used to activate the vowel points. How do I restore this feature of Caps Lock in Hebrew, and without creating a new keyboard with a program that I do not know, like Ukulele?
If you are talking about Apple's built-in Hebrew PC keyboard layout, you cannot make it work like before, but you should still be able to input vowels via Option plus Shift. Or you can download the new keyboard you need to restore the previous behavior.
It is a regression and loss of functionality caused by Apple, plain and simple. It was not announced, much less given any justification, anywhere that I (or Google or Bing) can find. It seems like a total goof by Apple.
Contrary to answer 1, you cannot type the same set of nikud using Option plus Shift as before with the Windows Hebrew keyboard, called "Windows - PC" on the Mac: you can type the Apple set of nikud, which is a proper subset of what you could type with Windows - PC.
For example, there is now no way to type Sin Dot and Shin Dot nikudes in the Apple set, whereas you could do so with the Windows - PC set.
Also, the placement of the keys to type with Option+Shift to get a nikud is completely different now. For example, PATAH with Windows PC was Caps Lock+Shift+7, but now it's Option+Shift+6 -- i.e., a change from 7 to 6.
So, you don't just have to change key typing from Caps Lock+Shift to Option+Shift, you basically have to learn the entire set of nikud key locations to combine with anew.