It really depends on the words and/or the context in which they are used. Proper names always need to be capitalized. With regard to your example lists; if these items were to be used as slides in a presentation, I would capitalize the first word after the hyphen just to make the presentation look better. Lists as part of a document, I may or may not capitalize the first word after the hyphen to fit with the aesthetic of the document.

no

No need to capitalise.