The All Caps (TT) setting will not save to your new preset when creating a linked style in the Essential Graphics panel.
For example, if you want to create a specific style for a specific client's video series, you can adjust all the settings and save. However, All Caps will never save, so they must be manually adjusted in all videos.
Also, if you create a Linked Style and then adjust the All Caps setting, the Linked Style section will show that unsaved changes have occurred.