I just had a look at my process list. It obviously depends on the utility you are using to see your process list. You could write your own version of Spy or something similar and show all processes for example in lowercase.
What the Windows Task manager does is - picks up the executable name as it was at compile time and show it.
I compiled three executables, each time giving three different cases when creating the executable. The ‘Case’ was preserved when displaying the same every time. So I guess its no ‘mystery’.
The filename has nothing to do with the process name that its shown up as.