Like you, I hate it. If you want the "official" MS take on the problem, see
this inane KB article: "The first word of paragraph is not automatically
capitalized in a numbered list in Word 2000, in Word 2002, or in Word 2003"
at
http://support.microsoft.com/?kbid=884033. The title is almost as long as
the article (which doesn't even mention that this happens in running text as
well as numbered lists), and the "Workaround" amounts to about the same as
the advice I usually give, viz.: "There are two Shift keys on every
keyboard." <g>
I can only imagine that this was in response to complaints from users who
don't always want numbered list items capitalized, but the fact that it
affects running text as well is especially inexcusable.