Should the first letter of the axis label be uppercase?
From a general survey of style books, yes, at least the first alphabet should be capitalized:


American Medical Association Manual of Style: Title format (e.g. Average Consumption Index, %)
Chicago Manual of Style: Sentence format (e.g. Average consumption index, %)
Scientific Style and Format (Cambridge): Sentence format


An easy way to see this: axis labels are akin to the row and column titles in a table. If those titles are generally capitalized (which is the norm), then the axis title should also follow. So, I'd recommend at least follow the sentence style capitalization rule. This is not to say lower case titles are absolutely wrong, but I am sure they will raise more eyebrows in a bad way.