Since my latest update, my keyboard doesn't automatically capitalize the first letter of each sentence. We have 2 of these phones on our account and one does, the other does not. The one that does not has no newer updates.
Check the settings--it may have been turned off by default. Go to your device settings, Language and Input, and look at the settings for whatever keyboard you use. I use Swype, but the Samsung keyboard also has a setting to auto-capitalize the first letter of each sentence. Set that to ON, and you should be all set.