As per ian’s experience, initial-caps-only for acronyms has been standard for as long as I’ve been doing this kind of thing for a living. Which is a long time. Is it a British thing? Yeah, could be, but I’m British so get over it.
That said, I suspect T42’s example is a case of house style being rigidly applied in spite of what would be sensible. As custodian of the style guide, I would always rather go against my own style rules than print something that readers won’t understand. Mind you, in my current job (in a content agency), house style is largely defined as “what the client wants”, and I’m sure we’ve all seen the stylistic abominations that marketing people come up with for company and brand names...