In order to save a caption on the Media Library/Scheduler 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.
Once you've saved several captions, click on the "Saved captions" button to access your entire list of captions. Add them to your posts by clicking on "Insert caption", as shown below: