The first letter of the labels is always capitalized instead of being written as it is

[devede]

In the widget, the first letter of the labels is always capitalized, instead of being written as is.

[devede]

Labels in widget

[devede]

labels in bottom of articles

[devede]

Sorry, the text of my bugreport is wrong.
In the widget, the first letter of the labels is being written as is but at the bottom of each article, the first letter of the labels is always capitalized, instead of being written as is.

[sabernhardt]

Which theme do you use?

I suspect your theme has a CSS rule like this in the tags list:
text-transform: capitalize;

[sabernhardt]

I found that you already answered my question on the support forums: the ​Nisarg theme.

That has text-transform: capitalize for .tags-links a and other elements.

If you want to continue using the theme, you can override its capitalize rules by adding this in the Customizer under Additional CSS:

.site-description,
.entry-meta,
.entry-meta a,
.byline,
.cat-links a,
.tags-links a,
.archive-page-title,
.nav-previous,
.nav-next,
.next-post,
.prev-post,
#infinite-handle span button, 
#infinite-handle span button:hover, 
#infinite-handle span button:focus {
  text-transform: none;
}

I'll close the ticket because this is not a bug in WordPress core.