I just wonder, is there any statement what should (is more right) to use? Should dropdowns have capital first letter or small? Any article for use casesor some source or it doesn´t matter?
I would argue that in most situations, it is appropriate to capitalize the menu options.
Case 1: The drop down is an answer to a question, so standard English grammar calls for a capital letter to begin a sentence1. Capitalize.
1: The answers themselves might not technically be complete sentences, but they are colloquially understood to be complete responses.
Case 2: The drop down menu contains proper nouns (as mentioned by @MattOKeefe). Capitalize.
After thinking about it longer, I can't think of an argument for using all lowercase in drop down menus unless that's explicitly part of the style of your content/site/app.