Note that the style separator is added at the end of the paragraph; to see
that, you may want to display nonprinting marks. Then you should be able to
add text after the style separator and apply a different style.

Yesterday afternoon I got the same result you did and a few other odd things
as well.  I inserted the style separator  in both docx and doc  files (but
always in 2007) by splitting the caption para into two, applying separate
styles to each, and placing my cursor in the first para and clicking the
style separator button.  Among the other things Word did wrong was to apply
the hidden attribute to some but not all of the text and to the manual page
break after the separator.  That would cause the page break to be ignored.  

Before I left for an appointment, I shut down Word.  When I returned later
that evening, inserting a style separator worked correctly. And this morning
it is still working correctly.  So restarting Word may be the fix for this
error.

The style separator does not appear in the ribbon.  You can add it to the QAT
though. Look for StyleSeparator among the Commands not in ribbon.

For documents that will stay in W2007, there is another option you can use to
include  just part of
your figure caption the the figure TOC is the linked styles feature:  In the
styles pane clear the checkbox next to Disable linked styles. If it is not
already a linked style, change the  Caption style from paragraph to linked in
the modify style dialog.  Apply the legend/caption continuation/action
caption style the the whole paragraph. Then apply the caption style to the
main caption text.

(Many thanks to the MVPs for describing, in another thread, what Disable
linked styles does and what it affects.  Help was no help.)

HTH,
PamC