The article is capitalized only when it is the beginning of a sentence, or for the elementary school of the same name. The article behaves "normally" (eg switches to aux Olympiades when needed) while the English article stick to Les Olympiades with a capitalized "Les".
Interestingly, both articles first words are "Les Olympiades", but:
* "Les" is in bold in the English one, as if it was part of the name, while only "Olympiades" is in bold in French
* The French article says "the Olympiades are" while the English one say "the Olympiades is".