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?