I think it comes from pay per click, somewhere in the blurb it says capitilsise the first letter of every word so that it reads better Google Adwords / google adwords I use it on my keyword tags for this reason
Some article sites don't allow ALL CAPS in titles and as titles contain or should contain main keywords there might be something in it. That said, you can submit articles with some words in caps - so why not the keywords. I read somewhere that misspelled keywords can work well - not as good as correctly spelled keywords though. Key word spies quantify how much some advertisers bid for misspelled keywords... Myself, unless purely accidental, I can't bring myself to misspell anything...
Yep the consensus seems to be that keywords are not case sensitive, in my experience anyway they seem not to be