Is there a default setting?
The issue at hand is unrelated to settings within your operating system and instead depends on the underlying file system in use. By default, Windows utilizes the NTFS file system, which only permits lowercase characters, while Linux allows for uppercase characters in its file system. Conversely, your webhosting employs the ext4 file system, whereas you have downloaded onto an NTFS file system, which only accepts lowercase characters.
The CMD commands specified in the text would add a flag to your files, thereby enabling the file system to accept them, but it may have undesirable effects.
As the operating system resides above the file system layer, there is no option to toggle for this matter, and any adjustments must be made at the file system level. This is not a flaw in the system's design but rather a deliberate choice based on specific reasons.
It is similar to how an email address with uppercase letters will always be perceived as lowercase by any email server.
Remember that a file system is not essential for a computer to operate, but it is necessary for us humans to understand and manipulate data since we cannot work with sectors, blocks, and clusters as machines do. Therefore, file systems are used to present data in a more comprehensible way.
Cross-OS file sharing can be entertaining with Samba/SMB, but it is best to adhere to lowercase characters, concise names, and refrain from utilizing special characters in file and folder names if you intend to share them with different file systems.