There is no consistent capitalization style for executables on Windows, not even across Microsoft products. Many very popular applications are lowercase (chrome.exe, firefox.exe, steam.exe) and many are not (Dropbox.exe, Kobo.exe, EpicGamesLauncher.exe). A rare few are allcaps, but that's usually very old software, like an ancient INSTALL.EXE or something.
On my machine a majority of the EXE files in my "C:\Program Files" are lowercased.
Command line applications especially are almost universally lowercased, though Microsoft's PowerShell environment seems to be a recent exception. On Windows it usually doesn't matter what case you used, because most operations are case insensitive, but this is not always true, as I think we just noticed in this thread.
-- Brad Smith