Sorry Mefistochen, I've tried many different ways of replicating your problem but, unfortunately, without success.
First I created a text frame, added some sample text, then used the Properties palette to make the text blue.
Then I tried…
* Selecting some text without the story editor and changing it to Small Caps;
* Selecting some text in the story editor and changing it the same way;
* Typing - without the story editor - directly into a section already in Small Caps;
* Typing in the story editor into a section already in Small Caps;
* Cutting a section of Small Caps and pasting into a different place;
* Cutting a section of normal text and pasting it into a Small Caps area;
* Adding new text into the different areas and to the end and start;
* Deleting text from different places;
* Making the whole frame Small Caps, and back to normal again;
* Using different fonts - including "non-system-installed" fonts.
…and I just can't replicate what's happening with your document.
If you could post the SLA document that you're having trouble with then someone might be able to look at it properly. (Obviously if you have understandable privacy issues, or similar, then that's not an option.)
The only other bit of advice I can give is to copy the text from each text frame to an external plain text editor, delete the text frame, create a new one, then paste the text back in and format it. Just in case your text frames are "corrupted" somehow (I have no idea how this would occur though).
Either that or choose a different font (the one you're using might not support Small Caps properly, or something).
Apart from that, unless I can see the actual problem document, or exactly replicate the problem, I can't be of much more help. Maybe someone else has more of an idea about it.
I hope you find a solution.