I have created a new connection.. made it a favorite.. but I had CAPS LOCK on!
I want to change the Computer name to all lower case.
I edit the favorite, but when I click SAVE, it reverts to the UPPER CASE name.

What could I be doing wrong?

Are you changing the Computer Name or Display Name? If you change the computer name to lower case, but not the display name, when you connect, the all caps display name will be the one you see in the tab title bar.

Alternatively, if you don't really care about the display name, you can always modify what is shown in the tab title bar in the options.

Go to Options, Tabs, Tab/Window Title Properties and change the connecting, connected, and disconnected values from %D to %R. Instead of showing the display name in the tab title bar, it will now show the remote computer. In fact, you can customize the titles quite a bit in that menu.

However, I'm guessing the first solution (double checking the display name) will suffice for your needs! 🙂

Oh, I forgot to mention that the Display Name is also the name of the favorite for the favorites manager and in the favorites menu.