Figure/Table caption support is broken in new version. Please see bug: http://bugzilla.lyx.org/show_bug.cgi?id=3750
I implemented a dirty workaround by manually inserting a Caption inset. Details can be found in my reply for that bug. And my patch has several other enhancements: (1) Support for {\em ...}. My supervisor uses it a lot, and maybe other people from LaTeX 2.09 use it frequently. (2) Support for \centerline{...}. Again my supervisor uses it a lot... (3) Support for \psfig and \epsfig. The two commands are equivelant to \includegraphics and can be translated to Graphics inset perfectly. So I just convert it to Graphics inset. No (e)psfig package support needed. And again my supervisor uses it a lot, so I have to implement it... The patch can be downloaded from the bugzilla link. Any comments? Regards, Hangzai