The RFC for URIs says:
6.2.2.1. Case Normalization
When a URI uses components of the generic syntax, the component syntax equivalence rules always apply; namely, that the scheme and host are case-insensitive and therefore should be normalized to lowercase. For example, the URI HTTP://www.EXAMPLE.com/ is equivalent to http://www.example.com/.
The other generic syntax components are assumed to be case-sensitive unless specifically defined otherwise by the scheme (see Section 6.2.3).
Note that scheme (“http” here), host (server name) are case-insensitive but should be in lowercase anyway. The rest is case-sensitive unless you’re using a different scheme that explicitly says it should be insensitive.
So key and KEY are different things in all http-based URIs according to the spec.
Edit:
@Nicholas is partly wrong in assuming that the authority defines what it accepts, that’s true for custom schemes and authorities that define their own URIs, but http is a well-defined spec that everyone conforms to (or you could have http queries that have, say, the pipe character as a delimiter. Imagine the chaos there!)
the RFC spec for HTTP says:
The scheme and host are case-insensitive and normally provided in
lowercase; all other components are compared in a case-sensitive
manner. Characters other than those in the “reserved” set are
equivalent to their percent-encoded octets: the normal form is to
not encode them (see Sections 2.1 and 2.2 of [RFC3986]).
So the query part of the URI as defined by the spec for the HTTP scheme is case-sensitive. If Microsoft has a case-insensitive parser for query strings, its not conforming to the spec. Not that I guess this level of pickiness really matters much.