Where are the captions stored for images that are sent or recieved in WhatsApp?
This is a bug in Whatsapp. It should send both image and caption. 

It's present both in Android and iPhone versions. Doesn't matter if you user the FORWARD ("Arrow/Forward") or the SHARE feature, both loose the original caption.

You and everyone with this problem can (and should) send a bug report thru the app by accessing the Settings panel > help > Contact us.