I just upgraded to VLC media player 2.0.4 Twoflower on Win 7. It associates itself with .CAF files, but won't play them.
I have quicktime installed, and it will happily play CAF files, so I'm not sure why there is a problem.
Core Audio Format is a container developed by Apple. Thus it's no surprise that it's supported by Quicktime.
I checked VLC's Features page and .caf is not listed under supported formats (or at all.) At a guess, it recognizes that it's a container, and that it contains supported media files, but it cannot unpack them.