Should the captions in a figure list include their references?
Assuming that the thesis preparation guide from your university says nothing about this, I would approach the question by considering the purpose of the figures list.  The point of the figures list is to make it easier to find these key elements of a very large document; the caption fragment is intended to help a reader find the figure that they are looking for.  There are two typical approaches to making these such caption fragments, either of which might be reasonable:


List the exact caption for each figure, so that the list can be more complete.  In this case, you should keep the references, since they're part of the exact caption.
Make a one-line summary of each caption, so that the list can be more compressed.  In this case, you should remove the references, since you are making a digest in any case.


If you have lots of very long captions, option #2 is probably better, as otherwise it defeats the point of the index.  If your captions are all fairly short, then option #1 is probably better, since it provides a fuller summary of the contents of each figure.