It's a matter of style.
There are several ways you can differentiate one thing from another, or one thing from a group of things (which may be what you are aiming for).
It's worth looking into theories such as gestalt theory to get an idea of how this works. This set of blogs is one of my favourite introductions to it https://www.smashingmagazine.com/2014/03/design-principles-visual-perception-and-the-principles-of-gestalt/
Using all capitals can be a good way to make a word or set of words standout from a wider group of content (hence the association with shouting). There are several other ways you could also do this using attributes such as colour, size, positioning, weight, common fate (maybe achieved with an animation) etc.
As a rule of thumb, you normally only choose one attribute or method to make something standout otherwise it can look like overkill and standout like a sore thumb, unless you want it to stick out like a sore thumb of course. Notice here that italics was used to differentiate "unless" from the rest of the sentence. Different techniques and combination of techniques have different effects and values, and these can change between cultures and contexts. If I really want something to STICK OUT LIKE A SORE THUMB then I can play around with these.
As a side note you may be interested to know that upper-case refers to the positioning of the drawer that typesetters took their type from. The lower case was more accessible and contains the set that was needed more frequently and quicker. https://en.wikipedia.org/wiki/Letter_case#Terminology