case conversion in sed substitution does not work

[Dennis Decker Jensen]

Package: sed
Version: 4.1.2-1
Severity: normal

case 1:

echo dennis decker jensen | sed -re 's/[a-z]+/\U&/'
DENNIS decker jensen

case 2:

echo dennis decker jensen | sed -re 's/[a-z]+/\u&/'
ennis decker jensen

I expected this in case 2:
Dennis decker jensen

It eats the character! The same thing happens when using \l (\L).

-- System Information:
Debian Release: testing/unstable
Architecture: i386 (i686)
Kernel: Linux 2.6.8.1-3-386
Locale: LANG=en_DK, LC_CTYPE=en_DK

Versions of packages sed depends on:
ii  libc6              2.3.2.ds1-13ubuntu2.2 GNU C Library: Shared libraries an

-- no debconf information