Partially, yes. I personally use an IDE with excellent syntaxes highlighting and those have been around for at least two decades. You are, however, often transplanting your SQL between a variety of environments and in some of those syntax highlighting is unavailable (for me at least) - the all caps does help in those rare situations.

More importantly though it helps clearly differentiate between those control keywords (which are universal) and data labels (which are specific to your business domain). If I'm consulting on a complex system that I only partially understand it's extremely helpful to be able to quickly identify data labels that I'm unfamiliar with to research.