It's a tough one. I'd say the question is whether you are using an English or a German word. For example, "schadenfreude" is an English word borrowed from the German language (and "Schadenfreude" is a German word). But if I told you that you have to pay 20% Mehrwertsteuer on goods bought in a shop in Germany (which I wouldn't want to translate to "sales tax" or "VAT" because I know it is very similar but possibly not exactly the same, and some Germans wouldn't translate because they don't happen to know the English word), then I'd write it capitalised. It's a German word, not a loan word, in the middle of an English sentence.
It's of course not proper English; it's a sentence mixed of English with a bit of German.