You can click the Numbering button in the Insert Caption dialog box and include chapter number, if you are using Word's chapter numbering using numbered Heading paragraphs, which is what I would do.

But as a workaround, you can instead click New Label in the Insert Caption dialog box and create a new label that looks like... Figure 3.

Of course, you will have to create a Figure 4 label, etc if you want those too. Without signifying a change in chapter (again, this is usually done with numbered headings), Word can't automatically create the number format you desire, but I think the workaround would work fine.