Reports

How do you want to capitalize? Just the first letter or all? You didn't say so I'll suggest both:

Capitalize the first letter

DAX doesn't have a PROPER() function like Excel to automatically capitalize the first letter, but you can handle it yourself by taking the first uppercase character and concatenating it with the rest in lowercase.

Calendar = 
ADDCOLUMNS(
    FILTER(
        ADDCOLUMNS(
            CALENDAR(DATE(2025,1,1), DATE(2025,12,31)), 
            "WeekdaysNum", WEEKDAY([Date], 2)  
        ),
        [WeekdaysNum] <= 5  
    ),
    "Year", YEAR([Date]),
    "Month", 
        UPPER(LEFT(FORMAT([Date], "MMMM"),1)) & LOWER(MID(FORMAT([Date], "MMMM"),2,LEN(FORMAT([Date], "MMMM")))),
    "MonthIndex", MONTH([Date]),   
    "WeekdaysName", 
        UPPER(LEFT(FORMAT([Date], "dddd"),1)) & LOWER(MID(FORMAT([Date], "dddd"),2,LEN(FORMAT([Date], "dddd"))))
)

All caps

You can capitalize month and weekdaysName in DAX using the UPPER() function:

Calendar = 
ADDCOLUMNS(
    FILTER(
        ADDCOLUMNS(
            CALENDAR(DATE(2025,1,1), DATE(2025,12,31)), 
            "WeekdaysNum", WEEKDAY([Date], 2)  
        ),
        [WeekdaysNum] <= 5  
    ),
    "Year", YEAR([Date]),
    "Month", UPPER(FORMAT([Date], "MMMM")),
    "MonthIndex", MONTH([Date]),   
    "WeekdaysName", UPPER(FORMAT([Date], "dddd"))
)

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