A lot of languages don't write language names with capital letter at the beginning. This rule includes almost all Slavic languages, Italian, Hungarian (I think Norwegian) etc.
Interwiki links are not headings and it should not be written as headings. All of them are references. Even we can treat it as headings, it makes a lot of confusion and bad orthography. For example, Serbian interwiki link is with bad orthography ("Српски / Srpski") as well as Serbo-Croatian.
As interwiki links use natural form of language name, we should use natural orthography, too.
I think that it should be "announced" as Wikipedia policy, because it seems that it is not just technical question. So, I am writing the proposal here because of that.