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The Romanization I generally use for Zelsen uses the common English method of capitalising the first letter of a sentence, and the first letter of several types of proper nouns, such as names of people or places (eg, the capital district of "Ychjkabazhj", the name "Mokoshj"). There's no "official" romanization, the language has no contact with the Latin alphabet or any Earth orthography, plus I'm still fiddling around trying to find the proper balance between aesthetics, pronunciation and reflecting important features of the native orthography or at least the language itself.

The native orthography doesn't really have anything exactly like capitalisation. The closest comparable feature would be that the vowel on the final syllable of a word is written with a different symbol, mostly just for the sake of clarity since spaces are not used. The ending vowel symbols are called "greater" and the infixed vowels are considered "lesser" to some extent, but it serves a different purpose.

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Zelsian (Khzayske)

The Iriex writing system has no capital 'letters' anywhere. (Technically, it doesn't have letters at all.)
The Romanisation follows the rules for English however, as does the punctuation as a whole. The Romanisation only exists to make it easier for me to read and type, it's not part of the conworld, so I didn't bother to try anything inventive with it.

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I speak English and a touch of Gàidhlig.
I am creating a conworld, which I refer to as the Carrion Series, that will contain three languages, Iriex, Dvoen and Maxna.

My conlangs don't have an upper/lower case distinction. In romanisations I tend to follow the English practice, at least as far as capitalising names and the starts of sentences.

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Twitter: @jsbaker750

Zidhgebzhail capitalises the first vowel of a verb stem and the first letter of all proper nouns.

ozil azefa gAin - Man saw woman
Dzhon Durymkosjaem bIn - John will go to Durham city.

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Valar morghulis.

Zidhgebzhail Orthography

I Ichi is a protolanguage without a writing system, and so the Latin alphabet is not native to it. I tend to steal English capitalisation.

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I am a conlanger, a guitarist, a liar, a songwriter, a marijuana smoker, and a reader. Who are you?

Capitalization in the Romanisation I'd use would be limited to proper names of people and places and the beginning word of a sentence.
None in the logography.

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Up in blue sky silly blimp goes by
Where it come from where it go
Ziggy-Zaggy it fly high

Emyt has no rule. Mostly proper nouns are capitalised.

Raayepeye never uses capitalisation.

Altho, these two languages have their own writing systems beside the romanisation, which have no capital letter at all.

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(native)
(learning)

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Języki sztuczne i lingwistyka, po polsku.

I intended to avoid the question of capitalisation entirely by giving Rireinutire a native syllabary. But I forgot to think my cunning plan all the way through. Mostly I write Rireinutire in Romanisation, and there of course capitalisation rears its ugly head. So far, my rule has been to adapt the capitalisation rules of Finnish, that being my L1.

Now that I think on it, I may do this with Romanised Rireinutire:
Sentence initials are not capitalised.
Proper names of persons and places are capitalised.
Punctuation follows the Rireinutire original.

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HyPry capitalizes the first word in a sentence and all verbs, unless the verb is preceded by the general auxiliary a or its modifier form ta, in which case the capitalization shifts to them. Names are not capitalized, nor are proper nouns, although all words in a title will be capitalized.
So:
Co énu'en A ual cı rírou.
I love you.

C óúrou rı Par.
You eat.

C nén a ʒu Iónou.
I am a Time Lord.

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I am a conlanger, a scuba diver, a belly dancer, an introvert, a reader, a writer, a gamer, a Superwholockian, a pianist, a clarinetist, a sailor, a CGI artist, a singer, a dreamer, a wisher, a liar, a hope-er, a pray-er, and a magic-bean-buyer. Who are you?

For mine I use logograms
but for digital use I transliterate in Latin alphabet with same convention: no space and no capitalization (except, when I use (X)Sampa where some sounds need capital letter ).

In Mychai's romanization all nouns (and words acting as nouns) and the first letter of a sentence are capitalized. Okay, so I stole it from German, but I really like it!

The script for Mychai (which I'm sure I'll get around to finishing some day...) only capitalizes the first letter of nouns and NOT the first letter of the sentence like in the romanization. So there the letters more properly have a "noun-initial form".