Problem creating Table in Page/Post

When trying to post a table with a caption tag, the caption tag is automatically removed by WordPress. I’m wondering why this is happening, considering caption is a valid tag.

Example:
<table>
<caption>This is a caption</caption>
<tr>
<th>Header 1</th>
<th>Header 2</th>
</tr>
<tr>
<td>Cell 1</td>
<td>Cell 2</td>
</tr>
</table>

After posted, it removed the caption tag and becomes:
<table>
<tr>
<th>Header 1</th>
<th>Header 2</th>
</tr>
<tr>
<td>Cell 1</td>
<td>Cell 2</td>
</tr>
</table>

I’ve tried to search for a solution, but couldn’t find anything. To see the actual page in question, go to:
http://www.goldmedalcollectibles.com/olympic-games-of-the-modern-era/

There should be a caption above the headers that says “Summer Olympic Games”