Why is it that a font looks a certain way when I see it on Dafont, but different in Photoshop...almost like the caps is turned on. This is for almost all fonts.

See below:

Grand Hotel font original
https://ibb.co/cYyHBG

On Photoshop:
https://ibb.co/g2BXdw

Problem is your use of Photoshop, not fonts
That's because you enabled the caps or small caps feature in Photoshop

in Photoshop :
Window > Character
then roll over the buttons located under the fields, until you find the "all caps" or "small caps" one, and uncheck them