I've often wondered the same thing!
All Caps is normally someone yelling, so it's kind of uncomfortable for me to read some messages in all-caps (Caps On).
If the person is new to Internet messaging (via usenet forums or e-mail), that person likely is unaware of the "All-Caps = Yelling" netiquette, and may prefer to type off-line documents (like word processor docs) with Caps Lock on.
Scott35