I don’t know about DZ, but things that are two letters in one language can be one in another (famously ij in Dutch, but there are others).

Also, things like æ and œ are much easier to deal with if they are a single glyphs. Their upper-case versions are respectively Æ and Œ even in languages where they are two letters. I suppose that now we would do it with something like ZWJs to make sure that both letters are transformed consistently but there are technical reasons behind the current situation.

[edit] here you go: dz is the 7th letter of the Hungarian alphabet, but the capital version (in a normal sentence) of dz is Dz and not DZ. Yeah, languages are weird: https://en.m.wikipedia.org/wiki/Hungarian_alphabet