It's actually a XenForo bug.
You can replicate it in any editor.
Type some text in the editor, select it all, try to add a link, the link just doesn't apply.
It's quite a rare situation.
@
Rho Delta, you might want to work around this until the bug is fixed (by XenForo devs) by adding a space at the end of the caption. Then, highlight everything except the space and add your link. In my testing that works. And a fair bit quicker than typing, saving, editing, adding the link again.