In the explanation by the community moderator's answer
The all-caps style of captions is inherent to the style of this site, as also evident from the site's logo text, which isn't "Movies & TV" but "MOVIES & TV". And I think this all-caps style is fitting very well to the topic .....
If so the same should be applied in the Current Community and Your Communities drop down list also. But it was not.
Screen shot for reference:
Community drop down list
Note: I am not sure, it is a bug or feature-request. So I tag it as discussion. Please feel free to change the relevant tag(s) to this post.