Actually we're not. This is part of the "trickle" down effect of some cons vs pros.
The printing of a WebmasterWorld topic is just "one" example. I know, it's such a trivial thing in this instance but, I printed that page just to get a "visual" and as I was reading, of course the PascalCasing instances were easy to decipher. Those that were not I had to double take and separate the words in the domain name.
Since domain names are not case sensitive, where is the harm in at least PascalCasing the domain name itself? Other than those who think that they have to type it using proper case?
From my perspective, I don't think that would be in "my" best interests all the time. There is a reason why you may not want to link the anchor text and provide a full URI reference in addition to that text. I feel there is still an "association" that takes place.
Here's another example of where providing linked anchor text creates challenges after the fact. Go back and pull up some of your older emails in Outlook. If you are running NIS, there is some sort of routine that takes place and delinks all anchor text in the process so you are left with no links. :(