There's no "boldface small caps" font in the Latin Modern family, so LaTeX performs a substitution; in this case it preserves the "boldface" weight attribute and chooses the "normal" shape.
I don't think there's much to do in this case other than defining a different substitution, but medium weight small caps embedded in a boldface context is worse, I believe.
One can follow Andrey Vihrov's suggestion and write in the preamble
(I've slightly modified the code). However this uses a T1-encoded font, so only the characters in T1 are available.
If a "boldface small caps" font with a wide covering of Unicode is really needed, one should adopt a font family that has the required shape.