That is how captions work... Select the object and on the References tab, click Insert Caption. Fill in the dialog box as desired. The numbers automatically update if new captions are inserted amongst existing ones.

To get the "Figure 4 shows..." to change to "Figure 5..."... Place the insertion point where you want this to be displayed and click References > Cross-reference. Fill in the dialog box... Reference type: Figure. Insert reference to: Only label and number.

You can even do something like this:
(Insert a cross-reference to Only label and number)
type <space>on page<space> (Insert a cross-reference to page number)
<space>shows yada yada.