I ask because I've seen a couple of OO PHP tutorials which do not adhere to this, but to me it just makes sense. It makes it easy to instantly see if a file is a class or not, if non-class files all use lowercase names.
This is a naming convention question and whilst it is a good meta question it seems to have been well covered with this stackoverflow question from Dec 2008:
basically some languages have prescribed naming conventions e.g. Java whereas others (the majority) have evolved and are mixed to the point of Programmer's Holy Wars.
If the language doesn't force any conventions, and this includes things like indentation (not just naming). Then the important thing is consistency. Consistency is far more important than the choice of a good convention.
The existing answer answers your actual question.