You have managed to get the figure inside the bookmark for the caption.
Either you have the figure in the same paragraph with the caption (in which
case it will automatically be included in the bookmark), or you created a
paragraph for the figure by pressing Enter at the beginning of the caption
after creating the cross-reference. In the former case, press Enter after
the figure to put it in its own paragraph. In the latter case, you can
either reinsert the bookmark (see instructions below) or delete the figure
and cross-reference and start over.

To reinsert the bookmark, select just the caption (or portion of it you want
cross-referenced). Then go to Insert | Bookmark, check the box for "Hidden
bookmarks" and select the radio button for Sort by: Location. The bookmark
that is highlighted is the one for the caption you have selected. Press Add
to reapply the bookmark to just the selected portion.

--
Suzanne S. Barnhill
Microsoft MVP (Word)