When you add a caption to a wrapped object, Word adds the caption in a text box, which makes them a bit difficult to manage.

As an alternative, you can put the object "In line with text" and then just add the caption in the paragraph below. You can wrap a frame around the two paragraphs (for that, use the Insert Horizontal Frame command which you can add to your Quick Access Toolbar).

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Stefan Blom
Microsoft Word MVP

Microsoft 365 apps for business
Windows 11 Professional