A family of Microsoft word processing software products for creating web, email, and print documents.
As Suzanne wrote, you will have to recreate the caption label (because the each label is saved in the Normal template, not in the specific documents where you are using it).
However, a missing caption label shouldn't cause any trouble with existing cross-references, and therefore we need more information. For example, what is the exact message that you see?
Also, note that you can create cross-references even if the caption label is missing. Just enclose the piece of text in a bookmark and create the cross-reference to bookmark text.