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Anyone who has tried to work with images in Microsoft Word knows that the images rarely behave like you want them to and are prone to jumping across pages and leading to gaping holes in text due to spacing issues they generate. The addition of captions only seems to complicate matters.
I suggest creating figure captions in a textbox before placing the associated image. Then you can place the image inside the text box so that the image and its caption can be moved as one entity. Make sure you use the layout options to set the proper text wrapping (I frequently use top and bottom) and that you specify your location relative to the page margins so that your images doesn't try to jump around if your text shifts.