There are two possible reasons why your caption is not rendering:
Potential Reason 1: Your caption is not in a layout snippet.
ALL captions must be inside of a layout snippet or floated, if a more advanced user. Captions are specifically designed not to span across an entire page like a banner and are programed to not allow this behavior.
Potential Reason 2: You did not set the caption's class.
Captions will only render if both the Tooltip and the Class drop down are selected correctly. (Please note: The description field is also required to activate the OK/Save button).
Double check that the "Image Caption" has been selected from the Class dropdown and see if that fixes the issue.