Creating a certificate request for my exchange server I am wondering if sans and CNs are case sensitive?
No, they are not case sensitive. To quote RFC 5280 (emphasis mine):
When the subjectAltName extension contains a domain name system
label, the domain name MUST be stored in the dNSName (an IA5String).
The name MUST be in the "preferred name syntax", as specified by
Section 3.5 of RFC1034 and as modified by Section 2.1 of
RFC1123. Note that while uppercase and lowercase letters are
allowed in domain names, no significance is attached to the case.
The referenced RFC 1034 echos this:
Note that while upper and lower case letters are allowed in domain names, no significance is attached to the case. That is, two names with the same spelling but different case are to be treated as if identical.
(The modification referenced as part of RFC 1123 was to allow the first character of a legal host name to be a digit, and is unrelated to case.)