\U and \L are not independent from each other, so \L will end \U the same as \E

Note that nesting of \U and \L still does what you expect if the \U\E and the \L\E are in different strings (because they are evaluated at different times), i.e.

$a="X\LBLA\EX";
$b="\Un${a}n\El";
print $b;

#prints NXBLAXNl
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while nesting \U and \L in a single string can always be substituted with a string without nesting

UPDATE: corrected the output of the script