These project names are not intended to be "embedded in a sentence" per current documentation. However in addition to standalone headers, following "More notifications from $5 other wikis", there are usages like "Estonian Wikipedia, Meta-Wiki and Wikimedia Commons". This list usage is basically an excerpt of a sentence, where second, third etc. project name requires different capitalization in some languages, probably most notably for languages where language names aren't capitalized. It seems that capitalization issue and other sort of grammar issues were initially considered at T121936, but an insufficient solution was implemented anyways.
I suppose you could either 1) remove the list usage and keep only the standalone project name headers below for the sake of simplicity, or 2) add another set of messages for usage in this specific sentence, or 3) perhaps have the translations in lowercase in languages where appropriate and then in page code force first letter to be in uppercase (as with "ucfirst" magic word) for standalone header usages and for the first item in a list (I'm not sure if it'd be sufficient for all languages).