Q. Why are heaven and hell not capitalized like any other named noun? Assuming that these religious terms refer to a place (even if they are metaphorical or metaphysical) why would they not be capitalized like any Walmart? Is capitalization not applied to any specific, named place?
A. Both of those terms are entered with a lowercase h in Merriam-Webster and the OED, and lowercase is the more common form for both in published documents going back more than two hundred years (as this Google Ngram suggests).
Starting with the metaphorical, if you were to write that you were “in Heaven” thanks to an especially tasty milkshake and that you’d have “a Hell of a time” finding anything as good again, those initial caps would stand out as oddly literal. But when these same two words are used in their traditional senses in the context of theology, initial caps would seem normal, especially for Heaven (which Merriam-Webster labels “often Heaven”—capital H—for the religious meanings).
Even if the context isn’t religious, initial caps would still be perfectly appropriate for either term whenever a religious meaning is implied, even loosely, especially if that’s your preference.
See also CMOS 8.110.