According to this thread, some argue it's a feature. I'd call it a bug.
When you use "Change Case" you are making a formatting change rather than an editing change. Since an actual edit is not being made it's not viewed as an Insertion or Deletion, which is what most primarily view as a tracked change. While most formatting changes are tracked, such as bold, font, etc, changing the case is not tracked as a formatting change.
Solution/workaround was found in same link:
[If] this is something you must track then what I suggest is for you to use Tools/Compare and Merge documents instead. Save a copy of the original document and make your modifications (without using Tracked Changes) in the copy. Then when you want to view the revisions, open the copy of the document and go to Tools/Compare and Merge Documents, navigate to the original document and turn on the "Legal blackline" option.
Like using Track Changes, all differences between the documents will be displayed as revisions and the changes you made using Format/Change. Case will be identified as well.