I believe it happens because you set it up to be all caps through the Character panel options or character style options. While that does give you all caps, be aware that they are not ‘real’ all caps. To prove that, just turn off all caps and they return to how they were before. So this is just like applying a paragraph rule to a paragraph, which can get lost when exporting to an ebook because the paragraph rule is merely a ‘presentational’ attribute so to speak. The same goes for the ‘fake’ all caps.
The solution to this is to convert it to ‘real’ static undoable all caps. You do that from the Type menu > Change Case > UPPERCASE. This changes it to real static all caps. If you have to do a lot of them this can get exhausting. And unfortunately, as far as I know, you can’t do that through Find/Change (unless, of course, you type in the actual replacement in all caps. But for variable chapter names this can be exhausting).
I think the best way to do it is like this:
Define a new shortcut for the Change Case to Uppercase menu (such as Shift+Ctrl+5). Then fire up the Find/Change dialog box. In the Find What field enter the string that you need, Or just use the Find Format option. Then hit Find Next. When any text gets selected in the document hit the shortcut (such as Shift+Ctrl+5) to change it to all caps. hit Find Next again, and hit the shortcut again. Do this over and over until all instances have been changed.