In the main body, your captions should contain the 2 fields - if you press ALT F9 you'll see the field codes rather than results.
The first field is the STYLEREF field which will probably be something like { STYLEREF 2 \s} - that is the part that adds the numbering from your Heading 2 style to the caption.
So in the main part (when viewing field codes with ALT F9), your captions should look something like:
Figure { STYLEREF 2 \s }-{ SEQ Figure \* ARABIC \s 2 }
In the Appendix section, you don't need this first STYLEREF field and the separator. So for those captions, just manually delete those fields after you insert your caption (ie so you're just left with the SEQ field for captions in the Appendix), that is:
Figure { SEQ Figure \* ARABIC \s 2}
You don't need the \s 2 at the end either, as this is the instruction to Word to restart your numbering after each Heading 2.
Also, if you want to restart the figure numbering in your Appendix at 1, then for the first caption in your Appendix add \r 1 at the end of your SEQ field code, to tell it to restart at 1. The rest of your SEQ fields in the Appendix won't need this switch, as you want them to be consecutively numbered.