The thing you have to look at is whether or not the small caps is emphasizing something in particular...and do you need to set that text off in some way in braille...if you do, what's the best way to do that.
If it's a heading and the initial letter is capitalized, a single cap is probably ok. In the example you mention the Star-Spangled Banner. That's a title and requires emphasis. The drill is using the capital word indicator to show the emphasis (it's distinguished from "regular" text that way). Same with Blue Boy on page 15-8.
#11 of drill 36 is a person's name. Using a single cap distinguishes the name from the rest of the text so full caps isn't required. As for the exercise sentences, I am unable to find the simbraille answers for those questions listed...are emphasis indicators used on the titles/names? If that is the case, then both emphasis and the capital word/passage indicators are not required.
In all things, it's going to be a matter of consistency. If small caps needs to be different that other fully capitalized words, then use a transcriber-defined typeform indicator to show the small caps...and then be consistent throughout your transcription.
Hope that helps. If you need more specific help regarding the NLS lessons, I would suggest you contact Jennifer Dunnam at NFB. Remember that the NLS document is new and they are still working out the kinks!
Cindi