I am assuming you want the following figure to be automatically numbered Figure 1.2 rather than 0.2. To do this, you need to have numbering linked to your heading 1 style.
See
How to create numbered headings or outline numbering in Ribbon Versions of Word by Shauna Kelly for instructions on how to do this. It is important that you follow all of the steps.
Once you have created the numbering, you can update your figure captions and they should include your chapter numbers.
See also:
Insert a Caption - Complex Documents