To conserve capitals is a wiki best practice meaning to avoid using unnecessary and nonstandard capitalization in page names. In particular this is important in mediawiki which is case-sensitive after the first letter of a page name. This follows correctly the English language naming conventions in which only proper nouns and acronyms and the first letter of a sentence are capitalized.
Also to facilitate extensive inter-linking between pages it is important to make it easy to casually link pages without checking their capitalization of titles. A page is named once, but it is linked to perhaps hundreds of times.
Accordingly any additional emphasis gained by using capitals in the title is drastically outweighed by the requirement to use anchor text to remove the capitals from the links. Or, the total unreadability of pages that link to pages with capitals in the titles.
To fail to conserve capitals is only one way to create a bad page name. Another way is to use extraneous words like "Project" or "the" in a title.
See dKosopedia:naming for more similiar issues.