This happens because the Caption style, by default, is set to update automatically. When the formatting changes, note that you can Undo (Ctrl+Z) to get rid of it.

To fix the issue permanently: Place the insertion point in a caption and press Ctrl+Shift+S; in the Apply Styles pane, verify that the style name is "Caption." Click the Modify button. Clear the "Automatically update" check box. Select "New documents based on this template" before clicking OK.

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Stefan Blom
Microsoft Word MVP

Microsoft 365 apps for business
Windows 11 Professional