I have the same issue as discussed here - https://stackoverflow.com/questions/4384768/how-can-i-make-capital-letter-upper-case-permalinks/4386225
I made changes to formatting.php like said above. But it allows to save the permalink/slug only at the very begining of the creation of the page/post. When I update the page (or try to change the slug) WP lowers the Capitalized slugs. I need to have the ability to save/change/update with Uppercase letters. It seems there is a JS - onblur code, which lowers the letters. Any help appreciated.