Make sure that Heading 1 is using auto numbering, so that the Caption feature can pick up the numbers.

Also, how are you creating vertical spacing between text paragraphs? If you press Enter twice in a heading and suppress the numbering, then the captions read the paragraph number as zero. At the very least, apply an unnumbered style, such as Normal, to the blank paragraphs. The best approach, however, is to avoid empty paragraphs and make use Spacing Before paragraph formatting instead.

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Stefan Blom
Microsoft Word MVP

Microsoft 365 apps for business
Windows 11 Professional