Some of text at caption might be use a hyperlink, this can not be done while you use directly “Hyperlink” button for the tex, because wordpress will render as normal text again without link. You can use and try this way below to make it works.

Try to use this :
Lorem ipsum dolor sit amet, {link:colorlabsproject.com}consectetuer adipiscing elit.{/link} Nam cursus. Morbi ut mi.

Then put the following code in footer.php , right before </body></html>

<script type="text/javascript">
jQuery().ready(function() {
jQuery("p.wp-caption-text").each(function(n) {
this.innerHTML = this.innerHTML.replace(new RegExp("{link:([^}]*)}([^{]*){/link}"), "<a href=\"$1\">$2</a>");
});
});
</script>