Probably because Excel was/is designed primarily to deal with numbers.
Word does a better job of word processing.
Only the developers know for sure.
Perhaps you could find a Small Caps font on the 'net and install that?
If you want a macro to change text to Small Caps I can post one.
To try to have the Excel developers add this feature to future versions of
Excel post to here........
http://register.microsoft.com/mswish/suggestion.asp
Gord Dibben Excel MVP
