You're right. Explorer can do that!

I saw this before and as far as I know, Microsoft considers this a COSMETIC defect and as they are focused on Windows 8 plus this is not a fatal flaw you should count of no fix from them.

As we read http://superuser.com/questions/266110/how-do-you-make-windows-7-fully-case-sensitive-with-respect-to-the-filesystem we learn that MSFT took the sloppy approach to file names. If you don't remember why, that's OK because why is from over a decade ago.
Bob