If you don't want to use the workaround in Shauna Kelly's article, then you won't be able to make use of the "magical" properties of the built-in headings, and that, in turn, means that you'd have to manage the restarts of captions yourself.
However, to start from the beginning, what was the exact words of the message that you encountered?
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Stefan Blom
Microsoft Word MVP
Microsoft 365 apps for business
Windows 11 Professional
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