Is 'Cajun' when used as a premodifier for 'cooking' always capitalized? Why or why not?
I just consulted five dictionaries. They all think "Cajun" should be capitalized, even when it refers to cooking, culture, etc. That should do it!
I'd say it's capitalized because it's still a proper name -- though as Ashworth points out above, associations of words drift. The only way to be sure is to consult the dictionary.