I see what you mean. I'm not able to replicate the issue. On my computer, the alignment is to the center of the rectangular bounding box, not the baseline. But even then, the center of the bounding box is not the center of the uppercase letters.
There is no easy way to align the way that you need to do.
As a workaround, you could copy the text and choose Type > Create Outlines. Align the outlined text the way you need. Optionally, you could then select the outlined text and View > Guides > Make Guides. Using the outline text as a guide, manually move the original editable text into place.