Some programs depend on running from a case-sensitive filesystem. For example, a program might have two different images, "image.png" and "Image.png" in its Resources directory, and depend on them being different from each other.
On the other hand, some programs depend on running from a case-insensitive filesystem. For example, a program might have "image.png" in its Resources directory, and try to load it as "Image.png"; this works fine on a case-insentitive filesystem, but on a case-sensitive filesystem the file will not be found.
Mac OS has traditionally used a case-insensitive filesystem, so most Mac developers write, debug, and test their programs on case-insensitive filesystems. Unless they happen to think to test on a case-sensitive filesystem as well, there's a significant chance they'll make at least one capitalization mistake somewhere, and their software will break on a case-sensitive filesystem.
Unix (& Linux), on the other hand, has traditionally used case-sensitive filesystems, so programs from that world sometimes get the reverse effect: they're more likely to have trouble on a case-insensitive filesystem.
You might also have a personal preference one way or the other. For example, I don't really think of capitalization as significant, so Image.png and image.png look like the same filename to me, and seeing them both in the same directory is confusing. Essentially, I prefer case-insentitivity because it's more compatible with the way my brain works.