Some people consider ALL CAPS to be "old school". Consider the difference between:
const string ErrorMessage = "Some error message.";
and
const string ERROR_MESSAGE = "Some error message.";
Both are completely usable, but the ALL CAPS version is less used by newer developers, such as the ones that started out with .NET.
I consider it a bad coding style if your team is using a different style. Other than that, I don't really care. At least when I see ALL CAPS in some shared code, I can guess that it's a constant.