In general, I do not see a problem of performing such a simple transformation in a value object's constructor. There should of course be no surprises for the user of a constructor but as the name CapitalizedId already tells you that whatever will be created will be capitalized there is no surprise, from my point of view. I also perform validity checks in constructors to ensure business invariants are adhered.
If you are worried to not perform operations in a constructor or if the operations and validations become too complex you can always provide factory methods instead (or in Kotlin using companion, I guess, not a Kotlin expert) containing all the heavy lifting (think of LocalDateTime.of()) and validation logic and use it somehow like this:
CapitalizedId.of("abc5464g");
Note: when implementing a factory method the constructor should be made private in such cases