I think the magic word here is "FAT32". Fat32 knows no access rights.
And FAT32 is case-insensitive, other than NTFS, wich is case-sensitive.
To my knowledge it is not possible to change the writing of a file on FAT32 from lower-case to upper-case or the other way round. To do so you have to change at least something else of the filename to make a change of the case happen.
When you execute an case-conversion action of FAT32-file with MP3Tag, MP3Tag shows the expected result and the conversion, because it obviously does not pay attention to the case-sensivity of the file-system.
If you then reread the files with MP3Tag it shows again in the former case.
If this is a bug of MP3Tag?
I don't know. Perhaps it should not show a wrong result of the action if in fact there were no changes possible because of a FAT32-Drive. To change this behaviour could be a bit tricky because is is only relevant for case-changes without renaming.