For example, if a WIM file is named BOOT.WIM (with an uppercase extension "WIM"), it will not appear in the menu.

FAT, NTFS, and exFAT are case-insensitive file systems. In GRUB 2, when using a full path, file matching is also case-insensitive.
However, GRUB 2’s wildcard module is case-sensitive.
In grub-core/commands/wildcard.c:
if (regcomp (regexp, buffer, RE_SYNTAX_GNU_AWK))
According to the documentation, using the REG_ICASE flag can make wildcards case-insensitive.
if (regcomp (regexp, buffer, RE_SYNTAX_GNU_AWK | REG_ICASE))