Capitalization of Roman numerals in Bibliography

Can anyone help me here? Why are the Roman numerals in the Bibliography not staying capitalized like they are in the footnote?
Thanks in advance

MacOS 12.6
Word for Mac 16.65
EndNote 20.4

The title Capitalization settings must be different for the bibliography and footnotes. In Chicago 17th footnote for example, the bibliography is set as “headline style” and the footnote is set as Leave titles as entered (always my preferred setting).

So to fix this, edit the output style, so both are leave titles as entered, and save to a new name, and then change to the newly named output style in your document.