All caps is the traditional C designation of a preprocessor macro constant. It's very useful to have these in a different namespace from anything else, since the preprocessor will substitute wherever it finds the name, regardless of things like scope.
A constant in the sense that Jeff was using is, semantically, a variable that can't be changed. It obeys all scoping principles and everything, and is semantically identical to a non-const variable with the same value.
To put this another way,
#define max_length 5
is a problem because somebody might use max_length as a variable in a different context, where it would normally be safe, while
const int max_length = 5;
is simply a variable declaration. Therefore, there's an advantage in using
#define MAX_LENGTH 5
because the convention is that only preprocessor constants are all-caps, so it will not interfere with any other use.
