I’m sorry to hear that you lost the files. Sadly, no, Keyman Developer does not do backups of your source files. But this would be a nice feature in the future and I’m writing this up as a feature request.
FWIW, I use CrashPlan for automated backup of files as I work; some people use DropBox or other tools similarly. With those online backup tools, you can go back and retrieve recent versions of files in the event you lose your work.
Regarding the warning/error that Developer was giving about capital letters: this is related to distribution. Windows is forgiving about file name capitalization, which means that we as users tend to not worry when referencing files, for example referencing an image in a help html file.
However, some other platforms are strict, and that means, for example, a package that works on Windows might not work on, say, Linux, simply because somewhere one letter was not capitalized in a file reference.