I couldn't find any particular reason that tags are always lowercase, but as a practical matter, they go a long way to ensuring consistancy. Tags are the foundation of a site's folksonomy. In order to prevent redundant and competing tags such as [FAA-Regulations] vs. [FAA-regulations]. Normalizing to lowercase (faa-regulations) prevents those sorts of (usually accidental) duplications. We can solve this problem with synonyms, but these take work to maintain and it's not immediately clear which form should be prefered.
It's important to note that this also enforces a degree of consistency across sites. For instance, safety is shared among many sites. There are other ways this could be achieved, of course, but this was not explicitly part of the plan when tags were designed.
The other consideration, of course, is that standardizing on lowercase tag names helps streamline the code for tag processing. I have no hard data on what it would take to implement mixed-case tags, but I guess it would be substantial.
Finally, I feel your pain.