Why is CHIM capitalized?

Because that's the way it is spelled.

So we see it and wonder why its special.

Because it's Ehlnofex for royalty, and Ehlnofex words usually are capitalized to distinguish them from both modern Tamrielic and other languages that may appear in the text. As the ur-language of Tamriel, Ehlnofex is pretty much treated like a magical incantation whenever it shows up, so to get the text right you can't just let it flow through your head and only retain the base meaning of it. You ought to stop and see how the multiple meaning of the words play on the text around them. All caps is good for stopping the eye.

Couldn't help myself.

http://www.youtube.com/watch?v=te_Nv3lMUnA