A family of Microsoft word processing software products for creating web, email, and print documents.
When you create a cross-reference to a caption, Word encloses the relevant part (caption label and number in this case) in a hidden bookmark and then inserts a cross-reference to the bookmark. It sounds as if a paragraph mark (¶) has ended up inside the hidden bookmark. Assuming that this affects a relatively small number of cross-references, recreating the references will be the easiest solution.