Renaming it in Explorer does actually rename the file if all you change is the case (in current Windows, at least, see the pedantry below), but whatever mechanism Explorer uses to determine “has this file’s name changed” is apparently case insensitive. So it won’t refresh the file list. I imagine this is yet another one of those damn fool Windows 95 holdovers, or something.
You don’t have to do any multiple-renaming jiggery pokery. Just press F5 to refresh that Explorer window and magically then it’ll show you that the file’s name was indeed changed all along.