No, Management Studio does not have this native functionality in any version from 2005 -> 2016 CTP 3.2. You may want to check out 3rd party add-ins, like [Mladen Prajdić's SSMS Tools Pack](http://ssmstoolspack.com/Features?f=4) or [Red-Gate's SQL Prompt](http://www.red-gate.com/products/sql-development/sql-prompt/), both of which have the capability to format a block of code, including automatically upper-casing keywords. However I don't know of any tool that will do this automatically as you type.

For me, I have been doing it so long, it just comes naturally, and *not* pressing <kbd>Shift</kbd> would actually slow me down. When I get someone else's code where the keywords are lower case, I highlight either the whole block or the offending sections, and hit <kbd>Ctrl</kbd>+<kbd>Shift</kbd>+<kbd>U</kbd>. If I have to highlight the whole section, I then go in to the object / column names and use IntelliSense to case them correctly (I have a real hang-up about ensuring that all keywords are upper case and all entity names match the metadata exactly, because you never know when your code will be deployed to a case sensitive collation).