In order to save a caption on the Media Library section, you need to:
- Click on a media
- Click on "Add caption"
- before typing your caption: click on the Saved Captions button (the little grey window) in the bottom right corner of the caption field
- click on the blue "+" button or on "Create a caption" if it's your first one.
- type a title and the text of your caption
- click on "Save", or "Save & Insert" if you want this caption to be added to the post you're currently scheduling.