I think there are two different ways of writing a title for any given MO post: Question & Non-Question style.
Any title in one of these two styles should be chosen in such a way to be both informative and attractive for a typical reader in the first view. These two parameters (i.e attraction and information) are what I personally pay great attention to while choosing a title for my posts not really the capitalization of the words.
If you know how to use the keywords in your title, you will have no problem for coding enough information in short attractive phrases in both question and non-question styles. Correct capitalization can help in this direction. However it is a bit marginal with respect to choosing the right words for the title.
The main point is that your title is a kind of abstract for your question. While too short and generic titles are not that informative, too long ones are also not attractive and a bit hard to read and grasp in the first glimpse.
Anyway you should think and find the appropriate style and the optimum length for any of your questions to maximize the information and attraction in the title no matter whether it is written in a question or non-question style.
For example there could be two alternative ways for titling this question.
1- Examples of Common False Beliefs in Mathematics
2- What are examples of common false beliefs in mathematics?
Both of them seem attractive and informative enough to me to make me curious to open the post and look inside.
Moreover let me add the point that apparently there is no unique way of capitalizing the titles in English grammar. See Rule 16.a and Rule 16.b in this source. You can follow more precise descriptions in standard style books, if you want a pedantically comprehensive answer.
Though, I personally very much doubt that such level of attention to the pedantic points in English writing should be a typical MO user's priority when adding posts here, particularly when most of them (like me) are non-native English speakers who need to focus on improving their more essential linguistic abilities like expanding the domain of their vocabulary or mastering in daily used grammar to soften their fairly mechanical English.