You should, if you are writing directly to someone. So if I right know, in this comment, wanted to write "Chcę Ci coś pokazać" to you, I should capitalize "Ci". This applies to letters, e-mails, text messages, Facebook messages, comments... well, simply anywhere where you address someone specific directly.
However, if you open a Polish book, you will see that there is no capitalization in the dialogues, because it's not the author addressing the reader, but just the words said by the characters, written down. Same applies for movie subtitles, etc.
On Duolingo you have contextless sentences, so there's also no reason to capitalize the pronouns.