Personally I always capitalise important sounds, but that's because I've spent years editing low-budget movies so I'm looking at it from the other side.
Frankly, if someone would turn your script down because you did or didn't capitalise sound effects then either they're an idiot or your script isn't very good. The only real issue is, as mentioned above, that too many capitalised words in a script makes it hard to read, and anything that makes the script hard to read reduces the reader's involvement in your story.