It is how it works. Try this instead:

DECLARE INTEGER MoveFile IN Win32API;
STRING @lcoldname , STRING @lcnewname

lcoldname = 'A.DBF'
lcnewname = 'B.DBF'
?MoveFile(@lcoldname, @lcnewname)#0

clear dlls

>I am renaming a file as in the code below, but the resulting filename that is stored on disk is lower case.
>The O/S is XP PRO.
>
>local lcMacro
>lcMacro = Upper("rename 'A.DBF' to 'B.DBF'")
>wait window lcMacro && just to verify that files names are uppercase
>&lcMacro
>
>TIA.