Hi, jordesign.
I did not import images with importer.
I put wp-content into fresh WordPress files, and imported xml without importing images.
Files and xml coming from same database, so it was not problem before.
I solved it with Regenerate Thumbnails, now small letters work too, but it is weird and should not be this way.
xml export should keep capitalization settings, which it does and it does not.
Some featured images are correctly exported with capitalization, and some are not.
It might be due to some memory or something woth host, but, I think it is better to make plugin break the export in such process, then to have user thinking he got backup, and he is getting really weird backup.
I am not sure what went wrong, but for example image-good.jpg would not work, because file name is Image-Good.jpg, while in other case it works.
Once I regenerate with plugin, image-good.jpg and Image-Good.jpg works, but it is still wrongly attached in featured image, it is in small letter and original file has capital starting letters.
I also used litespeed cache image optimization before, not sure if it is somehow connected.