It's a group of angles but I'm not sure if it should be in caps or not.
exa: "They are called Fallen Angels"
Well, in this exact context, it seems like you are referring to a race. In which case, it is not a proper noun, and it would not be capitalized.
However, if it were changed to "They are called
the Fallen Angels", you would be referring to a name, in which case it would be a proper noun and would be capitalized.
ex. "They are called caterpillars."
ex. "They are called the Caterpillars."
The first one is referring to a species, while the second is referring to a name.
Basically, if "fallen angels" is being used as a name of a group, you capitalize it. If it is being used as merely a description of something like race, it is not capitalized.