Currently OneNote has not caption option for an imported image paste to page. There is however an "Alt Text" option. This option however doesn't show the caption as part of the image object.
I ...
lindalu-MSFT
Microsoft
MicrosoftHi, we apologize for the confusion where to post your OneNote feedback. This community was intended to be a temporary location to submit developer feature suggestions between Microsoft moving off of UserVoice and the release of Microsoft's official Feedback portal app. Now that the latter is released, we encourage you to resubmit this great suggestion on the official OneNote Feedback portal at OneNote · Community (microsoft.com).
Kind regards,
Linda
Microsoft 365 Developer Platform community steward