How to create a Case Sensitive filesystem in 10.11.1?
It looks like there is a bug in the newly-rewritten Disk Utility application in El Capitan (as of 10.11.2) where it can't create case-sensitive disk images. As your answer mentioned, you can use the hdiutil command-line tool as a workaround; alternately, in Disk Utilty, you can erase the disk image after creating it, selecting a case-sensitive format.

https://discussions.apple.com/thread/7395900