Luxembourgish uses the same capitalization rules as standard German. (It's technically a german dialect, but counts as a language due to the "language = dialect with an army" - rule).
Well, this is largely because in German nouns are capitalized, and the language can get sort of confusing without it. So it's like publishing something in English with no apostrophes, or something similar.
It's not that bad, mainly it just looks really unprofessional if you don't capitalize. There are a few rare instances where it might get confusing, like: "Der Gefangene floh." = "The prisoner escaped" vs. "der gefangene Floh" = "the trapped flea". There is also fun to be had with: "Helft den armen Vögeln" = "help the poor birds" vs. "Helft den Armen vögeln" = "help the poor to f**k."
[1] But I know that the various "SdKfz" or "Sd.Kfz" vehicles' prefix stand for "SonderKraftfahrzeug", with |Sonder|Kraft|fahrzeug| roughly being |Special|?Purpose?|vehicle| and "StuG" is "SturmGeschutz", or Assault(/storming) Gun/cannon. With some accented characters in there somewhere. Capitalisation is part of the word construction, as I understand it. "Fahrzeug" is a "(far/distance)-thing", i.e. "vehicle" and has become a subservient component of the "Special Purpose" part so perhaps for that reason loses any inherent noun-capitalisation.
Capitalisation is not part of the word construction, it's only used to underline where the abbrevation comes from. Correct would be "Sturmgeschütz" and "Sonderkraftfahrzeug". "Kraftfahrzeug" means "motorized vehicle", while "Fahrzeug" (literally more like "drive-tool") alone could also be a bike or a horse carriage.
The word "Nazi" doesn't come from "Nationalsocialist" (De: "Nationalsozialistische") but is actually a derogatory comparison of the first two syllables of "NationalSozialistische Deutsche Arbeiterpartei" (NSDA, isn't it? Or NSDP to end with "Party"... I forget) with the Bavarian (I think) version of the name "Ignatius", which typically (and pre-Hitler) depicted a "local yokel" figure of fun. Equivalent to "Murphy", "Enoch and Eli", or "Cletus", from other parts of the world. But sorry if I've now Godwinated this thread...
It's mostly an analogy to "Sozi", a derogatory term for socialists/social democrats, akin to "commie".
You wouldn't like Germans when they are angry. (Don't mention the war)
Don't make us angry or we'll confiscate your monkey!