I have the same issue. Partly because I'm trying to get round another bug whereby InDesign won't break hyphenated words at the hyphen (e.g. long-termist would be broken as "long-term|ist" rather than breaking after "long-|") – the fix for that is setting the language to [No language]. But setting to [No language] for some reason removes the small caps even if there's an applied character style.
I have the same issue. Partly because I'm trying to get round another bug whereby InDesign won't break hyphenated words at the hyphen (e.g. long-termist would be broken as "long-term|ist" rather than breaking after "long-|") – the fix for that is setting the language to [No language]. But setting to [No language] for some reason removes the small caps even if there's an applied character style.