When you add a caption to an object that is "floating" so that text wraps around it, Word adds a text box for the caption. Word versions up to and including 2003 can't see captions inside text boxes. You can insert the objects "In line with text," add the caption in an ordinary paragraph, and (if necessary) wrap a frame around the object plus caption.

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Stefan Blom
Microsoft Word MVP

Microsoft 365 apps for business
Windows 11 Professional