I too think that least in tracklists we should keep all-caps, if only because otherwise you can't know how it was originally written.
For titles, I think they should be kept all caps if that's how they are officially, at least. For example Square is very anal about writting "FINAL FANTASY" in English, you will never ever (?) see it written as "Final Fantasy" officially anywhere (see
here, as opposed to "The World Ends with You" that's written just like that. Maybe it's because of their trademarks or something). Also a bit related would be "Super Robot Wars", I find it weird all the albums here are written that way when the games released in the US are officially called "Super Robot Taisen".
Of course other companies aren't that consistent so for these I don't really mind either way; sometimes it's just a typeface thing but certainly not always.