I have the same problem and it's not a minor issue. I feel like having my name in all caps makes me appear as though I'm self-important. It says, "Look at me!
It happend when I updated my software to 10.8.2. I tried changing my name back to upper and lower case in preferences and it worked for a while, but it went back to ALL CAPS, again.
This didn't work for me and I have the same annoying CAPS issue. After I delete my name in the prefs, (which is spelled in lower case already) It shows an upper case ghost image of my name. No matter what I do, I cannot erase this. I have also gone into my Address book, where the name was in caps, and I have no idea how it got there, but it has my email photo icon and nothing else on that address.
Anyone have other ideas?
I was little annoyed with this problem too, so I spent some time and figured out how to fix it.
1) If you open any email that shows your name in "ALL-CAPITAL", move your mouse to the name,and click, you should see a down-arrow at the right side of the name, click that, it should open a list of things like :.. Copy Address, Add to VIPS, New Email, Remove Contact from Previous Recipient List, Show Contact Card, etc. This is the important piece "Show Contact Card" click that. It should open the contact card, on top-left you should see "Open with Contacts" Button. Click that.
2) On the rightmost column, you will see your cards' details. scroll that column down [using scroll bar on the right], and find out where your name is in all CAPS.
You should see at least in one place, it is in ALL CAPS. Click the edit button on the right bottom location of this column.
3) On this edit column now,remove the ones you don't like [remember this is in "cards" section], just click "-" thingy on the left that is colored red.
4) click done
5) remove your email accounts from mac mail and quit macmail [please make sure, it is indeed quitted], from the dock, right click on mail icon and hit "quit" if you see that option.
6) start macmail again and add your email accounts. let it load all emails
7) You should be happy now, my gmail/yahoo/hotmail worked without any issues.
Hope this helps. Thank you and enjoy your macmail.