If you are using PowerPoint and do not capitalize the first letter of a bullet point, the software will do it for you. I don't always agree with all the ways that Microsoft Office tries to take control away from the user, but in this case it's generally a good feature.
(You can disable this feature completely via a preference setting, but doing so will also prevent PowerPoint from automatically capitalizing the first letter of a sentence if you forget to do that. You can also Undo the change as soon as it's made.)
As usual, it's back to context. It depends on what the heading of the bulleted list is. If it's a sentence that the bulleted items complete, for example, then you typically lowecase them:
The three things you should watch out for are