I can't reproduce this with exFAT using a Pi3 (which is the same platform as the Pi Zero 2w). I have an up-to-date RetroPie system created from the RP Pi3 image and updated regularly.
Starting with an empty drive and adding the retropie folder to it, the synchronization of the folder by the usbmount service preserves the case for all folders - the folders under roms are all lower case, the only uppercase folder is the BIOS folder and that's outside the roms folder.