Yes, you 'should' do it for every caption. Just in case there is a cross-ref to each one. It shouldn't be onerous to add by doing a search and replace.

In general most people don't know about non-breaking spaces and would have no idea what the issue is. For me, it bothers me when the Figure is separated from the actual number but the general population is less pedantic about things like this.

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Andrew Lockton
Chrysalis Design, Melbourne Australia