Hello Christine,
Basically, the product will keep the CAPS value for the session time only. This means, by the time that you come out of the product (ISQL in this case), the value that you've given for CAPS will be lost.
It would be a good idea to raise this as an Idea - but it need to be implemented not only on ISQL but other products too.
Hope this helpful to you.
Best Regards,
Srinivas Adupa
Product Owner