There's no way to do this with styles other than to use a character style
for the label. If you used autonumbering from the Bullets and Numbering
dialog, you could format the number and its accompanying text as bold, and
you could apply this numbering to the Caption style, and you could still
cross-reference captions as "Numbered items," but you might lose some of the
other "magic" qualities of captions, which are ordinarily numbered with SEQ
fields.

Formatting the paragraph mark of an inserted caption paragraph as
hidden would allow you to use a style with no bold formatting after
it. Of course, the result will look correctly only if "Hidden text" is
cleared on the View tab of Tools>Options, and it will print correctly
if "Hidden text" is cleared on the Print tab of Tools>Options.