Titles of episodes, plays, series, etc. etc. are capitalized in English. That’s why.
WE’VE ALREADY ESTABLISHED THAT FACT it’s still ridiculous when people write casual conversations like that tho
It’s a rare thing for people to write casual conversations like that. At the very least, I’ve never seen it, though that may just be me. Either way, it’s a matter of personal preference, much like how some find it ridiculous when people spell omit the -ugh from though.