This seems to be a 'feature' of grub4dos from at least 2009 onwards (and probably from the year dot!).
You may have noticed that grub4dos does not always list all file names and folder names in the correct case.
e.g. under Windows or linux, we can list these files on a FAT32 volume:
but the same files are listed by grub4dos in the console as:
I have reported the bug to chenall and suggested a fix which I have tested and it seems to work.