All themes has that option, but they are not meant to be filled with HTML code like in your example.
Shortcodes aren't complicated as you are not writing a code but you are using a visual shortcode composer where you add your details and you are ready to go. While it says "code" it is far, far away from coding.
Personally I would just switch back to earlier version of this theme and would avoid avoids. There aren't any crucial bugs that I fixed in this version, so you are safe to use it on your website. You can download any theme version from here.
I haven't tested my other themes for this kind of behavior and I am not sure if they will work perfectly well as they are not meant for that. Yes, all has galleries with captions, but not with rich HTML code in it.