Sub Demo()
Dim i As Long, j As Long, strOut As String
With ActiveDocument
  For i = 1 To .Sections.Count
    With .Sections(i).Range.Characters.First
      If (.Font.Name = "Arial") And (.Font.Size = 11) Then
      Else
        strOut = strOut & vbCr & "Section " & i & " on page " & .Information(wdActiveEndAdjustedPageNumber)
      End If
    End With
  Next
End With
If strOut = "" Then
  strOut = "No Missing Captions"
Else
  strOut = "Captions Missing From:" & strOut
End If
MsgBox strOut
End Sub