Adding a Fix 3 as I stumbled upon a similar problem just recently.
This fix only works if, after setting your desired language, you still get captions in another one.
For me the issue was that all of a sudden (without any change of languages), my caption labels (and only my caption labels) changed language.
The language for the captions is set in the "Normal" document template (a file with the ".dotm" extension). With Word closed, a quick delete of the document template (do back it up first!) will re-create it next time you open Word, and will re-populate the caption fields again with words from the set language.
Tip: Word keeps a set of "older" Normal document templates in the same folder (usually when a change occurs), so you can very well just rename the most recent old Normal template from before you experienced your issue, and all should be fixed at the next program opening.
You can check where is your document template for any of your documents by going to the DEVELOPER tab and clicking in the Templates panel the "Document template" icon. In the subsequent panel named "Templates and Add-Ins" if you click on the Attach button it will open the folder on your PC in which the word template resides. If you can't find your Developer tab, you can also go to Word->Options->Add-Ins->at the botton: Manage->select Templates->hit Go. Or do a quick online search for other ways to reach it.
Mine is called "Normal.dotm" and is located at: %appdata%\Microsoft\Templates
TL;DR : Reset your Word template either by deleting it (it recreates itself) or by renaming/choosing an older one from before your issue.