As a Catholic, when I pray my Rosary, I meditate on the Mysteries of our Redemption: these are the first two. It is out of respect for the significance of these events that I choose to capitalize.
The significance of the Annunciation is that Jesus was conceived; the Visitation shows that the Unborn Jesus was recognized within His mother's womb by John the Baptist, also as yet unborn. In our time, it is also an example for the world that life, human life, exists in the womb, not simply a "product of conception" to be aborted.
Thanks for asking, and God bless you!
You’re right. That was quite a visit alright!
Shouldn’t everything pertaining to what Jesus did also be capitalized then? Perhaps all caps.