This appears to be a similar issue which crops up in PDF24. See http://wordpress.org/support/topic/plugin-pdf24-article-to-pdf-line-break-image-captions .
Do either of you have some plugin which might be doing something to the p tag?
I normally don't use captions, but I just created a test post and used my latest unofficial build of WP Post to PDF (which incorporates TCPDF 6.0.018). I got the image and the caption, though I'm not all that thrilled with the alignment differences between the two (the image came out centered, and the caption appeared left-aligned, one paragraph down from the image). This may not be all that unexpected, however, given the way in which WP handles captions (I'd need to look at how to tweak the plugin code to better format these things).
See my thread on unofficial builds and try one. This latest one is still a little fresh to turn loose, but if you follow the links to my FTP server, you'll find 2.4.0 there.
Please post back with results.