I was having an issue with a manuscript I'm putting together recently. I was passing it back and forth with my advisor, and I was using Track Changes. As I added some figures with captions, I then wanted to refer to those figures in the text via a cross-reference.
When I clicked on Insert -> Cross-Reference in Word 2010, the recently-inserted captions weren't in the list!
Ugh, *another* Word screwup with complex documents.
Well, after a lost day of screwing around with the problem (and sleeping on it), I came across the solution.
The problem seems to be that Word doesn't like you to insert your figures and captions as a "tracked change". I went back and "accepted" all my insertions of figures and captions. And, voila! The figures now show up in the cross-reference dialog box. Now, whenever I insert a new figure, I'll either turn off track changes for the moment, or just go back and accept the insertion.
Hope this helped somebody else!