Ran into this today while working on a Word 2010 document: After inserting a caption under a figure, I'd try to insert a reference to it (References > Cross-reference > Figure), only to have it missing from the list of figures. The same thing was happening to the Table of Figures at the start of the document. Hmm. What's going on here?
Research revealed an answer: When Track Changes is enabled (which it was), you'll run into weird behavior with reference numbers in Word. Solution is to accept the changes, do a print preview or Update Table on the figures, then Word will show the figures in its cross-reference list. Not the ideal solution, but at least it works.