I ran multiple tests to replicated the bug. Here is the situation:
1. New page, add an image WITH a caption.
2. Add a link to that image that goes to another page.
3. Edit anything in the Magic HTML editor and click update.
The image link will disappear from the image.
See if you can replicate and let me know if theres a way to fix it, or just take a note in the future updates to fix it. Thanks! =]