It does so at the end of the "Server Locations" paragraph in chapter 2.d "Download Options" of part 3 "Working with Portage" in the "Gentoo Linux x86 Handbook". See URL reference. This is significant. Wget doesn't recognise the upper-case versions! Reproducible: Always
Sure enough; man make.conf shows lowercase variables now. This is something the Portage team failed to bring to our attention for one of the stable version updates. Failsauce! I'll take care of it.
Too bad wget can't understand uppercase env variables. ;) Thanks for reporting; fixed in CVS.