We have defined some attributes with multiple words in their names. For example: "One two three". We find that the names of these attributes are shown in the Classic UI as "One two three" (as defined in the attribute definition). However, when these attributes are displayed as columns in the Modern UX Grid Views, we find that each first letter of the word is capitalized. Such as, "One Two Three".
A sample screenshot of this behaviour is below.
Modern UX users a CSS attribute called "text-transform" on all header elements, whose value is set to "capitalize".
This is as per current designs. If you would like a change in this behaviour, an enhancement idea can be raised with the Product Management team directly.