Edit: TL;DR: adding/removing/changing a letter has significant consequences (which changing the case doesn't have)

Because your character name is a unique identifier (or key) that CCP can use to retrieve and store information. As time passes and you play the game, you end up interacting with more and more services where your character name is used for access. Changing your characters name changes the access token, meaning that CCP would have to go through every service you may or may not have interacted with, and change the listing. If they don't, then your character after the change would would lose access to that information (losing corp history, stats, inventory, etc). Additionally, this might leave behind orphaned records, which take up space, and can cause conflicts with future characters who might use the same name. As to why changing cases isn't an issue, I would assume that whenever they perform a look-up, it probably converts the string to a specific case.

In python, there is a data structure called a dict'(short for dictionary). You add information to it by giving it a key, which is a string (a series of characters), and a ]b]value[/b] which is the information you want to store. You can add many key/value pairs to that dict, creating a versatile structure for storing information. In order to retrieve a value, you give it a string, and that string must exactly match the key.

For example, you have a merc named "Dud" and whenever the server tries to look up his information, it uses the key "dud" (the all lowercase version of his name). He somehow manages to change his name to "Dude" and the server now uses "dude" as the key. Since "dude" doesn't match "dud," the server won't be able to retrieve any of his previously stored data.

Another merc named "GoOdLuCk ReAdInGtHis" decides to change his name to "GoodLuck ReadingThis." Since the lowercase versions of both names are the same, the server has no issue looking up previous information.