Open Character Style Palette and watch what is going on when you are creating a freame for a caption.
Probably you have predefined character style.
Nothing happens in the palette !
It's not even applying the last Character Style used.
Anselect everything in your spead and check which style is selected on your Character Styles Palete. Is it [None]?
It works !
If I unselect everything I had a Character Style other than [None], when selecting [None], caption is fine.
Does your Paragraph style include any nested, line, or GREP styles?
No, it was very basic. And changing for another one would have no effect. It was that "preselected" Character Style that ruled!