For a whole segment to uppercase/lowercase, you need to select all manually. So adding
Send, ˆa
as second line solves the problem :)

So, I propose this code for many ways of converting :

!x:: ; Alt X Convert word to capitalized or lowercase
Send {Right}
Send ^{Left}
Send +{Right}
Sleep 100
Send ^c
Sleep 200
Send +{F3}
Return

^l:: ; Ctrl L Convert segment to lowercase 1
Send, ^a
Send, ^c
Send, {Del}
Stringlower Clipboard, Clipboard
Send %Clipboard%
Return

!l:: ; Alt L Convert word to lowercase
Send, ^{Right}+^{Left}
Send, ^c
Send, {Del}
Stringlower Clipboard, Clipboard
Send %Clipboard%
Return

^u:: ; Ctrl u Convert segment to capitalized
Send, ^a
Send, ^c
Send, {Del}
StringUpper Clipboard, Clipboard
Send %Clipboard%
Return

!u:: ; Alt u Convert word to capitalized
Send, ^{Right}+^{Left}
Send, ^c
Send, {Del}
StringUpper Clipboard, Clipboard
Send %Clipboard%
Return

Hi Arnaud,

Thank you for your script to convert a whole segment to capital letters but I seem to have a problem.

All letters are capitalized but a few in between, most of the time about the same area of the sentence i.e a few letters after the first word or after a few letters within the first word, and regardless of whether the segment contains accents or not (I translate into French).

For example "Supprimer tous les utilisateurs" would give "SUPPrimer TOUS LES  UTILISATEURS". Any idea why such behaviour? :)  

I can relate. I also use a combination of Dragon and keyboard. I use a very simple script for capitalizing an entire segment, it works every time:

!z::    

Send ^a

Sleep 300

Send +{F3}

Return