I know—this is very old—BUT, I’ve still had this problem of not being able to use Title Case in InDesign styles. After perusing my GREP in InDesign book :) I found that you can create a workaround by creating a character style that is “all caps”, then in the Paragraph Style, add a GREP style that applies that style to the first letter of each word:

Apply Style: Uppercase_first
To Text: \<.

This tells it to look for any character at the beginning of every word and apply the style.