First, make sure that the term you would like to see is in your list of controlled vocabulary terms and in the capitalized form that you want. Only fields that use a shared controlled vocabulary are processed for capitalization so if the field this vocabulary is used on is not set up to be a shared vocabulary, change the field settings to make it one. Finally, make sure you reindex the collection so that CONTENTdm can rebuild the display.
There is more on controlled vocabulary.