Practically, you want to capitalise the commands anyway.
It gives your code some gravitas. Always remember that when you're writing SQL statements you're speaking Ancient Words of Power.
Does that JavaScript framework that got invented 2 weeks ago by some snot-nosed kid need Words of Power? No. Does the database that has been chugging on for decades upon decades need Words of Power? Yes. Words of Power and all the due respect.
The phrase "SQL programmers" is so fucking weird. SQL isn't a programming language. It's a query language. You don't "program" things with SQL. You utilize SQL as a component of programs for data insertion and lookup, but the actual logic of execution is done in a programming language. Unless you're doing Oracle PL/SQL, in which case why are you giving money to Oracle?
As a senior query writer, I use caps for begin and end and some other commands, but all caps makes my head hurt. It's like the sql is screaming at me. I think it's more important to have good looking queries with proper indentation.