I have no idea, where I can find the setting for this feature. It is most probably theme-related.
Update:
Thanks go to https://plus.google.com/u/0/+ChristianAust , who explained me on Google+, where to find the respective setting:
.../wp-content/themes/twentyfourteen/style.css:
.entry-title { text-transform:uppercase }
I simply removed all those “uppercasings” – because I don’t like that anyway.
Oh, how relaxing it is to post my I.T. trouble on my own blogs and to get solutions delivered “carriage free”. For a sensitive paranoiac like me forums and mailing list are like hell – my protection shields do not stand the bashings far too often.