OK, I reinstated the previous version. I actually hadn't done anything in the way of editing at all, other than changing that one thing, so I'm not sure what happened.
I did an experiment where I went into WYSIWYG mode and back to HTML mode without editing anything, and the result was what you got. Instead of FIGURE tags connecting images and captions, each image and each caption was in its own P tag, and the FIGURE tags were just gone. So, I should put up a confirm box with a warning when someone tries to switch to WYSIWYG mode when there is content that might be damaged by it.
I did an experiment where I went into WYSIWYG mode and back to HTML mode without editing anything, and the result was what you got. Instead of FIGURE tags connecting images and captions, each image and each caption was in its own P tag, and the FIGURE tags were just gone. So, I should put up a confirm box with a warning when someone tries to switch to WYSIWYG mode when there is content that might be damaged by it.