It looks like this effect can occur if you have set your headings to use “Body Text” as their type, rather than “Heading #” types. I would check to make sure that in the Formatting pane, where you set up heading formatting, that each title line in the preview area is set the heading level that is appropriate for that level (so maybe Heading 1 for parts and Heading 2 for chapters). When I do that, I get an expected result where small caps look the way they should.