URLs are not case sensitive up to a point.
A URL of Foo.Bar will be treated the same as foo.bar and FOO.BAR. However, if a URL contains characters of a different case after the domain (.bar in my example), it is possible that changing the case of those characters will result in an error.
So, if a URL is provided as foo.bar/Baz, and you try to access foo.bar/baz, you risk accessing the wrong resource or encountering an error.
Remember that URLs with forward slash characters following the domain (as in foo.bar/baz) are treated (at least on the front end) as pointers to directories in a file system, and case sensitivity will be dependent on the file system the web server is using.